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Books > Business & Economics > Economics > Econometrics
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Time Series Econometrics - Volume 2: Structural Change (Hardcover)
Loot Price: R5,229
Discovery Miles 52 290
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Time Series Econometrics - Volume 2: Structural Change (Hardcover)
Expected to ship within 10 - 15 working days
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Volume 1 covers statistical methods related to unit roots, trend
breaks and their interplay. Testing for unit roots has been a topic
of wide interest and the author was at the forefront of this
research. The book covers important topics such as the
Phillips-Perron unit root test and theoretical analyses about their
properties, how this and other tests could be improved, and
ingredients needed to achieve better tests and the proposal of a
new class of tests. Also included are theoretical studies related
to time series models with unit roots and the effect of span versus
sampling interval on the power of the tests. Moreover, this book
deals with the issue of trend breaks and their effect on unit root
tests. This research agenda fostered by the author showed that
trend breaks and unit roots can easily be confused. Hence, the need
for new testing procedures, which are covered.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.
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