TIME SERIES ECONOMETRICS (V2): Volume 2: Structural Change - Hardcover

Perron Pierre

Hardcover

ISBN 10: 9813237899 ISBN 13: 9789813237896

Verlag: World Scientific, 2019

Inhaltsangabe

Volume 2 is about statistical methods related to structural change in time series models. The approach adopted is off-line whereby one wants to test for structural change using a historical dataset and perform hypothesis testing. A distinctive feature is the allowance for multiple structural changes. The methods discussed have, and continue to be, applied in a variety of fields including economics, finance, life science, physics and climate change. The articles included address issues of estimation, testing and/or inference in a variety of models: short-memory regressors and errors, trends with integrated and/or stationary errors, autoregressions, cointegrated models, multivariate systems of equations, endogenous regressors, long-memory series, among others. Other issues covered include the problems of non-monotonic power and the pitfalls of adopting a local asymptotic framework. Empirical analyses are provided for the US real interest rate, the US GDP, the volatility of asset returns and climate change.

Details zur Ausgabe

• Verlag: World Scientific
• Erscheinungsdatum: 2019
• Sprache: Englisch
• ISBN 10: 9813237899
• ISBN 13: 9789813237896
• Einband: Gebundene Ausgabe
• Anzahl der Seiten: 972
• Kontakt zum Hersteller: preigu GmbH & Co. KG; mail@preigu.de; ; Lengericher Landstr. 19; Osnabrück; Niedersachsen; 49078; Deutschland