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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.
| Autorius: | Pierre Perron |
| Leidėjas: | World Scientific |
| Išleidimo metai: | 2019 |
| Knygos puslapių skaičius: | 972 |
| ISBN-10: | 9813237899 |
| ISBN-13: | 9789813237896 |
| Formatas: | 235 x 157 x 56 mm. Knyga kietu viršeliu |
| Kalba: | Anglų |
Parašykite atsiliepimą apie „TIME SERIES ECONOMETRICS (V2)“
