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" New developments in time series econometrics "
Jean-Marie Dufour, Baldev Raj (Eds.).
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BL
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| Record Number
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729723
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b549478
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| Main Entry
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Jean-Marie Dufour, Baldev Raj (Eds.).
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| Title & Author
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New developments in time series econometrics\ Jean-Marie Dufour, Baldev Raj (Eds.).
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| Publication Statement
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Heidelberg: Physica Springer, 2014. ©1994
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| Series Statement
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Studies in empirical economics.
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| ISBN
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3642487424
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: 9783642487422
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| Contents
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New Developments in Time Series Econometrics: An Overview.- Modelling of Multivariate Economic Time Series.- Usefulness of Linear Transformations in Multivariate Time-Series Analysis.- VAR Modelling and Haavelmo's Probability Approach to Macroeconomic Modelling.- Inference in Expectations Models of the Term Structure: A Non-parametric Approach.- Adjustment Costs and Time-To-Build in Factor Demand in the U.S Manufacturing Industry.- Structural Change Analysis.- Parameter Constancy in Cointegrating Regressions.- The HUMP-Shaped Behavior of Macroeconomic Fluctuations.- The Sources of the U.S. Money Demand Instability.- Seasonality, Cointegration and Fractional Integration.- On the (Mis)Specification of Seasonality and its Consequences: An Empirical Investigation with US Data.- Seasonal Cointegration, Common Seasonals, and Forecasting Seasonal Series.- A Note on Johansen's Cointegration Procedure when Trends are Present.- Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models.
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| LC Classification
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HB139.J436 9999
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Baldev Raj
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Jean-Marie Dufour
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| Parallel Title
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Empirical economics.
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