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Time Series Econometrics: Volume 2: Structural Change (Mathematical Economics Game th) (in English)
Pierre Perron (Author)
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Wspc
· Hardcover
Time Series Econometrics: Volume 2: Structural Change (Mathematical Economics Game th) (in English) - Pierre Perron
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Synopsis "Time Series Econometrics: Volume 2: Structural Change (Mathematical Economics Game th) (in English)"
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... Leer másVolume 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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The book is written in English.
The binding of this edition is Hardcover.
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