Time series econometrics: 3 Single equation modelling
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Abingdon, OX [u.a.]
Routledge
2015
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Critical concepts in economics
|
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | X, 492 S. graph. Darst. |
| ISBN: | 9780415718301 |
Internformat
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| 245 | 1 | 0 | |a Time series econometrics |n 3 |p Single equation modelling |c ed. by Terence C. Mills |
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Datensatz im Suchindex
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| adam_text | Titel: Bd. 3. Time series econometrics. Single equation modelling
Autor:
Jahr: 2015
CONTENTS
VOLUME III: SINGLE EQUATION MODELLING
A cknowledgements
PART 1
Dynamic specification
39 Serial correlation as a convenient simplification, not a
nuisance: a comment on a study of the demand for
money by the Bank of England
DAVID F. HENDRY AND GRAYHAM E. MIZON
40 Econometric modelling of the aggregate time-series
relationship between consumers expenditure and
income in the United Kingdom
JAMES E. H. DAVIDSON, DAVID F. HENDRY,
FRANK SRBA AND STEPHEN YEO
41 Some tests of dynamic specification for a single equation
J. D. SARGAN
42 On the formulation of empirical models in dynamic
econometrics
DAVID F. HENDRY AND JEAN-FRANCOIS RICHARD
vii
1
3
21
58
82
PART 2
Unit roots, time trends and breaks
113
43 Distribution of the estimators for autoregressive time series
with a unit root
DAVID A. DICKEY AND WAYNE A. FULLER
115
44 Testing for unit roots in autoregressive-moving average
models of unknown order 128
SAID E. SAID AND DAVID A. DICKEY
45 Testing for a unit root in time series regression 140
PETER C. B. PHILLIPS AND PIERRE PERRON
46 Trends and random walks in macroeconomic time series:
some evidence and implications 155
CHARLES R. NELSON AND CHARLES I. PLOSSER
47 Pitfalls in the use of time as an explanatory variable
in regression 180
CHARLES R. NELSON AND HEEJOON KANG
48 Trends versus random walks in time series analysis 200
STEVEN N. DURLAUF AND PETER C. B. PHILLIPS
49 The Great Crash, the oil price shock, and the unit root
hypothesis 225
PIERRE PERRON
50 Testing the null hypothesis of stationarity against the
alternative of a unit root: how sure are we that economic
time series have a unit root? 273
DENIS KWIATKOWSKI, PETER C B PHILLIPS, PETER SCHMIDT AND
YONGCHEOLSHIN
51 The power problems of unit root tests in time series with
autoregressive errors 292
DAVID N. DEJONG, JOHN C. NANKERVIS,
N E SAVIN AND CHARLES H WH1TEMAN
52 Efficient tests for an autoregressive unit root 314
GRAHAM ELLIOTT, THOMAS J. ROTHENBERG AND JAMES H. STOCK
53
Confidence intervals for autoregressive coefficients near one 343
GRAHAM ELLIOTT AND JAMES H. STOCK
54 Lag length selection and the construction of unit root
tests with good size and power 370
SERENA NG AND PIERRE PERRON
55 Testing for a unit root in the presence of a possible break
in trend 412
DAVID HARRIS, DAVID 1. HARVEY, STEPHEN J. LEYBOURNE
AND A.M.ROBERT TAYLOR
56 Unit root tests allowing for a break in the trend function
at an unknown time under both the null and alternative
hypotheses 459
DUKPA KIM AND PIERRE PERRON
|
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| id | DE-604.BV042504481 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T01:23:33Z |
| institution | BVB |
| isbn | 9780415718301 |
| language | English |
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| physical | X, 492 S. graph. Darst. |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | Routledge |
| record_format | marc |
| series2 | Critical concepts in economics |
| spelling | Time series econometrics 3 Single equation modelling ed. by Terence C. Mills 1. publ. Abingdon, OX [u.a.] Routledge 2015 X, 492 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Critical concepts in economics Mills, Terence C. 1952- Sonstige (DE-588)129450790 oth (DE-604)BV042105776 3 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027939137&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Time series econometrics |
| title | Time series econometrics |
| title_auth | Time series econometrics |
| title_exact_search | Time series econometrics |
| title_full | Time series econometrics 3 Single equation modelling ed. by Terence C. Mills |
| title_fullStr | Time series econometrics 3 Single equation modelling ed. by Terence C. Mills |
| title_full_unstemmed | Time series econometrics 3 Single equation modelling ed. by Terence C. Mills |
| title_short | Time series econometrics |
| title_sort | time series econometrics single equation modelling |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027939137&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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| work_keys_str_mv | AT millsterencec timeserieseconometrics3 |