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Analysis of integrated and cointegrated time series with R

Author: Pfaff, Bernhard Series: Use R! Publisher: Springer, 2008.Edition: 2nd ed.Language: EnglishDescription: 188 p. : Graphs ; 24 cm.ISBN: 9780387759661Type of document: BookBibliography/Index: Includes bibliographical references and index
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Item type Current location Collection Call number Status Date due Barcode Item holds
Book Asia Campus
Main Collection
Print QA280 .P43 2008
(Browse shelf)
900231237
Available 900231237
Book Europe Campus
Main Collection
Print QA280 .P43 2008
(Browse shelf)
001272567
Available 001272567
Total holds: 0

Includes bibliographical references and index

Digitized

Analysis of Integrated and Cointegrated Time Series with R Contents Preface to the Second Edition ............................................................... vii Preface .................................................................................................... ix List of Tables........................................................................................... xv List of Figures ...................................................................................... xvii List of R Code ........................................................................................ xix Part I Theoretical Concepts 1 Univariate Analysis of Stationary Time Series ..................................... 3 1.1 Characteristics of Time Series ...................................................... 3 1.2 AR(p) Erne Series Process ........................................................... 6 1.3 MA(q) Time Series Process ........................................................ 10 1.4 ARMA(p, q) Time Series Process ................................................ 14 Surnmary ......................................................................................... 20 Exorcises .......................................................................................... 21 2 Multivariate Analysis of Stationary Time Series ................................ 23 2.1 Overview .................................................................................... 2.2 Vector Autoregressive Models ..................................................... 2.2.1 Specification, Assumptions, and Estimation................... 2.2.2 Diagnostic Tests ............................................................. 2.2.3 Causality Analysis.......................................................... 2.2.4 Forecasting 2.2.5 Impulse Response Functions .......................................... 2.2.6 Forecast Error Variance Decomposition ......................... 2.3 Structural Vector Autoregressive Models .................................... 2.3.1 Specification and Assumptions ....................................... 23 23 23 28 34 36 37 41 43 43 2.3.2 Estimation ........................................................................ 2.3.3 Impulse Response Functions ............................................. 2.3.4 Forecast Error Variance Decomposition ............................. Summary .......................................................................................... Exercises........................................................................................... 3 Non-stationary Time Series................................................................... 3.1 Trend- versus Difference-Stationary Series .................................. 3.2 Unit Root Processes ..................................................................... 3.3 Long-Memory Processes .............................................................. Summary .......................................................................................... Exercises .......................................................................................... 4 Cointegration........................................................................................ 4.1 Spurious Regression .................................................................... 4.2 Concept of Cointegration and Error-Correction Models................. 4.3 Systems of Cointegrated Variables ............................................... Summary .......................................................................................... Exercises .......................................................................................... Part II Unit Root Tests 5 Testing for the Order of Integration ..................................................... 5.1 Dickey-Fuller Test ....................................................................... 5.2 Phillips-Perron Test ..................................................................... 5.3 Elliott-R.othenberg-Stock Test...................................................... 5.4 Schmidt-Phillips Test .................................................................. 5.5 Kwiatkowski-Phillips-Schmidt-Shin Test ...................................... Summary .......................................................................................... Exercises........................................................................................... 6 Further Considerations ........................................................................ 6.1 Stable Autoregressive Processes with Structural Breaks .............. 6.2 Seasonal Unit Roots .................................................................... Summary .......................................................................................... Exercises........................................................................................... Part III Cointegration 7 Single-Equation Methods ..................................................................... 7.1 Engle-Granger Two-Step Procedure.............................................. 7.2 Phillips-Ouliaris Method .............................................................. Summary .......................................................................................... Exercises........................................................................................... 44 47 48 49 50 53 53 55 62 70 71 73 73 75 78 86 86 91 91 94 98 100 103 104 105 107 107 112 118 118 121 121 123 126 127 8 Multiple-Equation Methods ................................................................ 129 8.1 The Vector Error-Correction Model ............................................ 129 8.1.1 Specification and Assumptions ....................................... 129 8.1.2 Determining the Cointegration Rank 30 8.1.3 Testing for Weak Exogenity ............................................. 134 8.1.4 Testing Restrictions on ß.................................................. 8.2 VECM and Structural Shift......................................................... 8.3 The Structural Vector Error-Correction Model ........................... Summary ........................................................................................ 136 143 145 158 Exorcises ........................................................................................ 158 9 Appendix............................................................................................ 9.1 Time Series Data........................................................................ 9.2 Technicalit i es .......................................................................... 9.3 CRAN Packages Used ................................................................ 161 161 162 163 10 Abbreviations, Nomenclature, and Symbols...................................... 165 References............................................................................................. 169 Name Index ........................................................................................... 177 Function Index ..................................................................................... 181 Subject Index ........................................................................................ 185

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