TIME SERIES ECONOMETRICS

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Sinopsis de TIME SERIES ECONOMETRICS
Volume 2 is about statistical methods related to structural change in time series models The approach adopted is offline 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 andor inference in a variety of models shortmemory regressors and errors trends with integrated andor stationary errors autoregressions cointegrated models multivariate systems of equations endogenous regressors longmemory series among others Other issues covered include the problems of nonmonotonic 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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time series econometrics-9789813237896

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Novela contemporánea

Narrativa española

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