Time series econometrics: Volume 2 Structural change
Gespeichert in:
| Weitere Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New Jersey ; London ; Singapore
World Scientific
[2019]
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xxii, 948 Seiten Diagramme |
| ISBN: | 9789813237896 9813237899 |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | Contents About the Editor v Acknowledgments vii Introduction xiii 1. A Test for Changes in a Polynomial Trend Function for a Dynamic Time Series 1 Pierre Perron 2. An Analysis of the Real Interest Rate Under Regime Shifts 67 René Garcia and Pierre Perron 3. Estimating and Testing Linear Models with Multiple Structural Changes 109 Jushan Bai and Pierre Perron 4. Computation and Analysis of Multiple Structural Change Models 159 Jushan Bai and Pierre Perron 5. Structural Breaks with Deterministic and Stochastic Trends Pierre Perron and Xiaokang Zhu ix 195
x Contents 6. Estimating Restricted Structural Change Models 271 Pierre Perron and Zhongjun Qu 7. Estimating and Testing Structural Changes in Multivariate Regressions 309 Zhongjun Qu and Pierre Perron 8. The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Change 367 Mohitosh Kejriwal and Pierre Perron 9. Assessing the Relative Power of Structural Break Tests Using a Framework Based on the Approximate Bahadur Slope 417 Dukpa Kim and Pierre Perron 10. Let’s Take a Break: Trends and Cycles in US Real GDP 497 Pierre Perron and Tatsuma Wada 11. Testing for Shifts in Trend With an Integrated or Stationary Noise Component 535 Pierre Perron and Tomoyoshi Yabu 12. A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component 597 Mohitosh Kejriwal and Pierre Perron 13. Testing for Multiple Structural Changes in Cointegrated Regression Models Mohitosh Kejriwal and Pierre Perron 643
Contents 14. Wald Tests for Detecting Multiple Structural Changes in Persistence xi 701 Mohitosh Kejriwal, Pierre Perron and Jing Zitou, 15. Statistically Derived Contributions of Diverse Human Influences to Twentieth-Century Temperature Changes 751 Francisco Estrada, Pierre Perron and Benjamín Martínez-López 16. A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS 771 Pierre Perron and Yohei Yamamoto 17. Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors 795 Pierre Perron and Yohei Yamamoto 18. Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices 837 Pierre Perron and Zhongjun Qu 19. Modeling and Forecasting Stock Return Volatility Using A Random Level Shift Model 877 Yang K. Lu and Pierre Perron 20. Forecasting Return Volatility: Level Shifts with Varying Jump Probability and Mean Reversion Jiawen Xu and Pierre Perron 913
|
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| id | DE-604.BV045515847 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T08:20:16Z |
| institution | BVB |
| isbn | 9789813237896 9813237899 |
| language | English |
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| physical | xxii, 948 Seiten Diagramme |
| publishDate | 2019 |
| publishDateSearch | 2019 |
| publishDateSort | 2019 |
| publisher | World Scientific |
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| spelling | Time series econometrics Volume 2 Structural change editor Pierre Perron (Boston University, USA) New Jersey ; London ; Singapore World Scientific [2019] xxii, 948 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Ökonometrie (DE-588)4132280-0 s Zeitreihenanalyse (DE-588)4067486-1 s Statistik (DE-588)4056995-0 s Stochastischer Prozess (DE-588)4057630-9 s DE-604 Perron, Pierre 1959- (DE-588)170356647 edt (DE-604)BV045515810 2 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030900241&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Time series econometrics Stochastischer Prozess (DE-588)4057630-9 gnd Statistik (DE-588)4056995-0 gnd Ökonometrie (DE-588)4132280-0 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4057630-9 (DE-588)4056995-0 (DE-588)4132280-0 (DE-588)4067486-1 |
| title | Time series econometrics |
| title_auth | Time series econometrics |
| title_exact_search | Time series econometrics |
| title_full | Time series econometrics Volume 2 Structural change editor Pierre Perron (Boston University, USA) |
| title_fullStr | Time series econometrics Volume 2 Structural change editor Pierre Perron (Boston University, USA) |
| title_full_unstemmed | Time series econometrics Volume 2 Structural change editor Pierre Perron (Boston University, USA) |
| title_short | Time series econometrics |
| title_sort | time series econometrics structural change |
| topic | Stochastischer Prozess (DE-588)4057630-9 gnd Statistik (DE-588)4056995-0 gnd Ökonometrie (DE-588)4132280-0 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Stochastischer Prozess Statistik Ökonometrie Zeitreihenanalyse |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030900241&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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