Nonlinear trending time series: theory and practice
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New Jersey
World Scientific
[2025]
|
| Schriftenreihe: | World scientific series on econometrics and statistics
Vol. 2 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xi, 261 Seiten Illustrationen 24 cm |
| ISBN: | 9789811293344 |
Internformat
MARC
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Datensatz im Suchindex
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Contents Preface v vii About the Authors 1. 1.1 1.2 1.3 1.4 1.5 1.6 1.7 2. 1 Introduction An Overview on Trending Time Series. 3 Deterministic and Stochastic Trends . 14 Testing for Deterministic and Stochastic Trends . . 19 The Mysteries of Trend: An Example . . 23 Detrending Methods and Their Problems . 27 Summary. 33 Bibliographical Notes . . . . . 34 Trending Time Series Models 2.1 2.2 2.3 2.4 2.5 2.6 2.7 2.8 2.9 2.10 35 Regression Models with Deterministic Trends . 36 Cointegration: Common Stochastic Trends. 46 Nonlinear Cointegration . 50 Fractional and Other Forms of Cointegration . 55 Spurious Regressions. 59 The Problem of Endogeneity . 62 Trending Time Series in Predictive Regressions . . 65 Aggregate Income and Consumption . 73 Summary. 76 Bibliographical Notes. 76 ix
Nonlinear Trending Time Series: Theory and Practice X 3. Time Series Regressions with Weak Trends 3.1 3.2 3.3 3.4 3.5 3.6 3.7 3.8 3.9 4. 5. 151 Testing for a Common Deterministic Trend. 152 Coordinate Systems for Trends . 154 A Common Features Approach . 158 Simulated Example. 167 Summary. 169 Technical Notes. 170 Applications in Climate Change 6.1 6.2 6.3 6.4 6.5 6.6 119 Model Specification. 120 Assumptions. 122 The OLS and Bias-corrected Estimator. 127 Estimation of the Trending Magnitude. 130 Simulated Example. 131 Empirical Example. 139 Summary. 141 Technical Notes. 141 Testing for Common Trends 5.1 5.2 5.3 5.4 5.5 5.6 6. Model Specifications . 80 The Estimation Method . 83 Assumptions and Asymptotic Results. 87 Implementation Steps and Computational Issues . . 91 Simulated Example.
94 Empirical Example. 96 Summary. 105 Technical notes. 106 Bibliographical Notes. 117 Time Series Regressions with Strong Trends 4.1 4.2 4.3 4.4 4.5 4.6 4.7 4.8 79 173 Global Temperatures and Greenhouse Gases . 174 The Со-trending Relationship. 184 Climate Sensitivity and Climate Cycles. 187 Conditional Forecasts of Future Temperatures . . . 194 Summary. 197 Bibliographical Notes. 198
Contents Appendix A A.l A.2 Proofs of the Lemmas xi 199 Proofs of the Lemmas in Chapter 3 . 199 Proofs of the Lemmas in Chapter 4. 212 References 233 Author Index 253 Subject Index 259 |
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| spelling | Chen, Li Verfasser aut Nonlinear trending time series theory and practice Li Chen, Xiamen University, China, Jiti Gao, Monash University, Australia, Farshid Vahid, Monash University, Australia New Jersey World Scientific [2025] xi, 261 Seiten Illustrationen 24 cm txt rdacontent n rdamedia nc rdacarrier World scientific series on econometrics and statistics Vol. 2 Regressionsanalyse (DE-588)4129903-6 gnd rswk-swf Trend (DE-588)4138150-6 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Nichtlineare Zeitreihe (DE-588)4304586-8 gnd rswk-swf Time-series analysis Time-series analysis / Data processing Série chronologique Série chronologique / Informatique Stochastischer Prozess (DE-588)4057630-9 s Trend (DE-588)4138150-6 s Nichtlineare Zeitreihe (DE-588)4304586-8 s Regressionsanalyse (DE-588)4129903-6 s b DE-604 Gao, Jiti 1962- Verfasser (DE-588)122189892 aut Vahid, Farshid Verfasser (DE-588)171104145 aut Erscheint auch als Online-Ausgabe 978-981-12-9335-1 World scientific series on econometrics and statistics Vol. 2 (DE-604)BV050161322 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=035432627&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Chen, Li Gao, Jiti 1962- Vahid, Farshid Nonlinear trending time series theory and practice World scientific series on econometrics and statistics Regressionsanalyse (DE-588)4129903-6 gnd Trend (DE-588)4138150-6 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Nichtlineare Zeitreihe (DE-588)4304586-8 gnd |
| subject_GND | (DE-588)4129903-6 (DE-588)4138150-6 (DE-588)4057630-9 (DE-588)4304586-8 |
| title | Nonlinear trending time series theory and practice |
| title_auth | Nonlinear trending time series theory and practice |
| title_exact_search | Nonlinear trending time series theory and practice |
| title_full | Nonlinear trending time series theory and practice Li Chen, Xiamen University, China, Jiti Gao, Monash University, Australia, Farshid Vahid, Monash University, Australia |
| title_fullStr | Nonlinear trending time series theory and practice Li Chen, Xiamen University, China, Jiti Gao, Monash University, Australia, Farshid Vahid, Monash University, Australia |
| title_full_unstemmed | Nonlinear trending time series theory and practice Li Chen, Xiamen University, China, Jiti Gao, Monash University, Australia, Farshid Vahid, Monash University, Australia |
| title_short | Nonlinear trending time series |
| title_sort | nonlinear trending time series theory and practice |
| title_sub | theory and practice |
| topic | Regressionsanalyse (DE-588)4129903-6 gnd Trend (DE-588)4138150-6 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Nichtlineare Zeitreihe (DE-588)4304586-8 gnd |
| topic_facet | Regressionsanalyse Trend Stochastischer Prozess Nichtlineare Zeitreihe |
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