Buch, Englisch, 256 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 546 g
Buch, Englisch, 256 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 546 g
Reihe: Contributions to Economic Analysis
ISBN: 978-0-444-51633-6
Verlag: Elsevier Science Ltd
The monograph concentrates on recent developments in modelling economic processes on macro level. Namely there are two main areas of interest: co-integration analysis and the use of high frequency time series. Special emphasis is put on testing, application of VEqCM models to I(1) as well as I(2) variables and structuralization of VAR. Volatility is analysed within traditional and Bayesian approach.
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
Preliminary. 1. Introduction. 2. Modelling volatility and its implications for economic integration (S. Hall, B. Becker, S. Gottschalk). 3. Inflation, money growth and the I(2) analysis (K. Juselius). 4. Recent developments in cointegration analysis (H. Luetkepohl). 5. Econometrics and economic policy analysis (G. Mizon). 6. Asymptotic and finite sample properties of the Dickey-Fuller test (S. Johansen). 7. Bayesian comparison of bivariate GARCH processes within the conditional ECM framework (J. Osiewalski, M. Pipien). 8. Financial processes in the transition economy: an application of SVEqCM (A. Welfe). 9. Optimal lag structure selection in VAR and VEC models (P. Winker, D. Maringer).
