Name: Time Series Econometrics: Volume 2: Structural Change (Mathematical Economics Game th) (en Inglés)
SKU: 53347110
Price: 4462.65 MXN
Availability: InStock
Author: Pierre Perron
ISBN: 9789813237896

portada Time Series Econometrics: Volume 2: Structural Change (Mathematical Economics Game th) (en Inglés)

Time Series Econometrics: Volume 2: Structural Change (Mathematical Economics Game th) (en Inglés)

Formato

Libro Físico

Editorial

Wspc

Autor

Pierre Perron

Año

2018

Idioma

Inglés

N° páginas

550

Encuadernación

Tapa Dura

ISBN13

9789813237896

Categorías

Econometría

Time Series Econometrics: Volume 2: Structural Change (Mathematical Economics Game th) (en Inglés)

Pierre Perron (Autor) · Wspc · Tapa Dura

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Reseña del libro "Time Series Econometrics: Volume 2: Structural Change (Mathematical Economics Game th) (en Inglés)"

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.