Time Series Econometrics:Part Ii:Structural Change

时间系列计量经济学:第二部分,结构变化

数量经济学

原   价:
2043.00
售   价:
1532.00
发货周期:预计3-5周发货
作      者
出  版 社
出版时间
2019年02月18日
装      帧
精装
ISBN
9789813237896
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页      码
550
语      种
英文
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库存 30 本
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图书简介
Part II 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. Key Features: ○ Covers statistical methods related to unit roots, trend breaks and their interplay ○ Includes theoretical studies related to time series models with unit roots and the effect of span versus sampling interval on the power of the tests ○ Offers new testing procedures
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