Co-integration, error correction, and the econometric analysis of non-stationary data /
Co-integration, error correction, and the econometric analysis of non-stationary data /
Anindya Banerjee., Juan J. Dolado, John W. Galbraith [y otro].
- Oxford : Oxford University Press, 1993.
- xiii, 329 páginas : ilustraciones, gráficas, tablas ; 23 cm.
- Advanced texts in econometrics .
Incluye referencias bibliográficas (páginas 311-320) e índice.
National conventions, symbols and abbreviations -- 1. Introduction and overview: 1.1 Equilibrium relationships and the long run ; 1.2 Stationarity and equilibrium relationships ; 1.3 Equilibrium and the specification of dynamic models ; 1.4 Estimation of long-run relationships and testing for orders of integration and co-integration ; 1.5 Preliminary concepts and definitions ; 1.6 Data representation and transformations ; 1.7 Examples: typical ARMA processes ; 1.8 Empirical time series: money, prices, output, and interest rates ; 1.9 Outline of later chapters ; Appendix -- 2. Linear transformations, error correction, and the long run in dynamic regression: 2.1 Transformations of a simple model ; 2.2 The error-correction model ; 2.3 An example ; 2.4 Bardsen and Bewley transformations ; 2.5 Equivalence of estimates from different transformations ; 2.6 Homogeneity and the ECM as a linear transformation of the ADL ; 2.7 Variances of estimates of long-run multipliers ; 2.8 Expectational variables and the interpretation of long-run solutions -- 3. Properties of integrated processes: 3.1 Spurious regression ; 3.2 Trends and random walks ; 3.3 Some statistical features of integrated processes ; 3.5 Using wiener distribution theory ; 3.6 Near-integrated processes -- 4. Testing for a unit root: 4.1 Similar tests and exogenous regressors in the DGP ; 4.2 General dynamic kodels for the process of interest ; 4.3 Non-parametric tests for a unit root ; 4.4 Tests on more than one parameter ; 4.5 Further extensions ; 4.6 Asymptotic distributions of test statistics -- 5. Co-integration: 5.1 An example ; 5.2 Polynomial matrices ; 5.3 Integration an co-integration: formal definitions and theorems ; 5.4 Significance of alternative representations ; 5.5 Alternative representations of co-integrated variables: two examples ; 5.6 Engle-granger twostep procedure -- 6. Regression with integrated variables: 6.1 Unbalanced regressions and orthogonality test ; 6.2 Dynamic regressions ; 6.3 Functional forms and transformations ; Appendix: Vector Brownian Motion -- 7. Co-integration in individual equations: 7.1 Estimating a single co-integrating vector ; 7.2 Tests for co-integration in a single equation ; 7.3 Response surfaces for critical values ; 7.4 Finite-sample biases in OLS estimates ; 7.5 Powers of single-equation co-integration tests ; 7.6 An empirical illustration ; 7.7 A fully modified least-squares estimator ; 7.9 Dynamic specification ; 7.10 Examples ; Appendix: covariance matrices -- 8. Co-integration in systems of equations: 8.1 Co-integration and error correction ; 8.2 Estimating co-integrating vectors in systems ; 8.3 Inference about the co-integration space ; 8.4 An empirical illustration ; 8.5 Extensions ; 8.6 A second example of the Johansen maximum likelihood approach ; 8.7 Asymptotic distributions of estimators of co-integrating vectors in I(1) systems -- 9 Conclusion: 9.1 Summary ; 9.2 The invariance of co-integrating vectors ; 9.3 Invariance of co-integration under seasonal adjustment ; 9.4 Structured time-series models and co-integration ; 9.5 Recent research on integration and co-integration ; 9.6 Reinterpreting econometrics time-series problems.
0198288107
Modelos econométricos
330.015195 / C645
Incluye referencias bibliográficas (páginas 311-320) e índice.
National conventions, symbols and abbreviations -- 1. Introduction and overview: 1.1 Equilibrium relationships and the long run ; 1.2 Stationarity and equilibrium relationships ; 1.3 Equilibrium and the specification of dynamic models ; 1.4 Estimation of long-run relationships and testing for orders of integration and co-integration ; 1.5 Preliminary concepts and definitions ; 1.6 Data representation and transformations ; 1.7 Examples: typical ARMA processes ; 1.8 Empirical time series: money, prices, output, and interest rates ; 1.9 Outline of later chapters ; Appendix -- 2. Linear transformations, error correction, and the long run in dynamic regression: 2.1 Transformations of a simple model ; 2.2 The error-correction model ; 2.3 An example ; 2.4 Bardsen and Bewley transformations ; 2.5 Equivalence of estimates from different transformations ; 2.6 Homogeneity and the ECM as a linear transformation of the ADL ; 2.7 Variances of estimates of long-run multipliers ; 2.8 Expectational variables and the interpretation of long-run solutions -- 3. Properties of integrated processes: 3.1 Spurious regression ; 3.2 Trends and random walks ; 3.3 Some statistical features of integrated processes ; 3.5 Using wiener distribution theory ; 3.6 Near-integrated processes -- 4. Testing for a unit root: 4.1 Similar tests and exogenous regressors in the DGP ; 4.2 General dynamic kodels for the process of interest ; 4.3 Non-parametric tests for a unit root ; 4.4 Tests on more than one parameter ; 4.5 Further extensions ; 4.6 Asymptotic distributions of test statistics -- 5. Co-integration: 5.1 An example ; 5.2 Polynomial matrices ; 5.3 Integration an co-integration: formal definitions and theorems ; 5.4 Significance of alternative representations ; 5.5 Alternative representations of co-integrated variables: two examples ; 5.6 Engle-granger twostep procedure -- 6. Regression with integrated variables: 6.1 Unbalanced regressions and orthogonality test ; 6.2 Dynamic regressions ; 6.3 Functional forms and transformations ; Appendix: Vector Brownian Motion -- 7. Co-integration in individual equations: 7.1 Estimating a single co-integrating vector ; 7.2 Tests for co-integration in a single equation ; 7.3 Response surfaces for critical values ; 7.4 Finite-sample biases in OLS estimates ; 7.5 Powers of single-equation co-integration tests ; 7.6 An empirical illustration ; 7.7 A fully modified least-squares estimator ; 7.9 Dynamic specification ; 7.10 Examples ; Appendix: covariance matrices -- 8. Co-integration in systems of equations: 8.1 Co-integration and error correction ; 8.2 Estimating co-integrating vectors in systems ; 8.3 Inference about the co-integration space ; 8.4 An empirical illustration ; 8.5 Extensions ; 8.6 A second example of the Johansen maximum likelihood approach ; 8.7 Asymptotic distributions of estimators of co-integrating vectors in I(1) systems -- 9 Conclusion: 9.1 Summary ; 9.2 The invariance of co-integrating vectors ; 9.3 Invariance of co-integration under seasonal adjustment ; 9.4 Structured time-series models and co-integration ; 9.5 Recent research on integration and co-integration ; 9.6 Reinterpreting econometrics time-series problems.
0198288107
Modelos econométricos
330.015195 / C645