Unit roots cointegration and structural change pdf
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- Unit Roots, Cointegration, and Structural Change
- Investigating energy consumption and economic growth for BRICS-T countries
- Unit Roots, Cointegration, and Structural Change (Themes in Modern Econometrics)
Home Forum Login. Download PDF Download. Page 2 Unit Roots, Cointegration, and Structural Change Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration.
In this context, this study investigates energy consumption and real output in BRICS-T countries through panel cointegration. The variables are transformed into natural logarithm. To analyze these data, this study employed Pedroni cointegration test, the second-generation panel cointegration test, Westerlund and Edgerton test and FMOLS test.
Unit Roots, Cointegration, and Structural Change
Im, So Kyung, Pesaran, M. Kanas, Angelos dan Kouretas, Georgios P. Maddala, G. Pesaran, M. Pyndyck, Robert S.
Investigating energy consumption and economic growth for BRICS-T countries
This book is a welcome addition to books on time series analysis. Figures; Tables; Preface; Part I. Introduction and Basic Concepts; 1. Introduction; 2. Basic concepts; Part II. Unit Roots and Cointegration: 3. Unit roots; 4.
Home Forum Login. Download PDF Download. Page 2 Unit Roots, Cointegration, and Structural Change Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration. Maddala and Kim present a comprehensive review of these important developments and examine structural change. The volume provides an analysis of unit root tests, problems with unit root testing, estimation of cointegration systems, cointegration tests, and econometric estimation with integrated regressors. The authors also present the Bayesian approach to these problems and bootstrap methods for small-sample inference. The chapters on structural change discuss the problems of unit root tests and cointegration under structural change, outliers and robust methods, the Markov switching model, and Harvey's structural time series model.
Unit roots in macroeconomic time series: theory, implications, and evidence. The theme of unit roots in macroeconomic time series has received a great amount of theoretical and applied research in the last two decades. This paper presents some of the main issues regarding unit root tests, explores some of the implications for macroeconomic theory and policy, and reviews the recent evidence on the presence of unit roots in GDP series for Latin American countries. We conclude that a consensual view on many of the aspects involved has not emerged from this literature. Key words: time-series models, unit roots, business fluctuations.
Unit Roots, Cointegration, and Structural Change (Themes in Modern Econometrics)
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