Time Series Econometrics - Volume 2: Structural Change Contributor(s): Perron, Pierre (Editor) |
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ISBN: 9813237899 ISBN-13: 9789813237896 Publisher: World Scientific Publishing Company OUR PRICE: $178.60 Product Type: Hardcover - Other Formats Published: April 2019 |
Additional Information |
BISAC Categories: - Business & Economics | Econometrics - Mathematics | Game Theory - Mathematics | Probability & Statistics - Time Series |
Dewey: 330.015 |
LCCN: 2018002771 |
Physical Information: 2" H x 6" W x 9" (3.21 lbs) 972 pages |
Descriptions, Reviews, Etc. |
Publisher Description: 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. |