Arbeitspapier
Estimating the number of unit roots: A multiple decision approach
The problem of detecting unit roots in univariate and multivariate time series data is treated as a problem of multiple decisions instead of a testing problem, as is otherwise common in the econometric and statistical literature. Four examples for such multiple decision designs are considered: first- and second-order integrated univariate processes; conintegration in a bivariate model; seasonal integration for semester data; seasonal integration for quarterly data. In all cases, restrictedly optimum decision rules are found for finite samples based on Monte Carlo simulation.
- Sprache
-
Englisch
- Erschienen in
-
Series: Reihe Ökonomie / Economics Series ; No. 16
Klassifikation
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Econometric and Statistical Methods: Special Topics: Other
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Econometric and Statistical Methods: Special Topics: Other
Thema
multiple decision
unit roots
autoregressive processes
unit roots
autoregressive processes
Ereignis
Geistige Schöpfung
(wer)
Kunst, Robert M.
Ereignis
Veröffentlichung
(wer)
Institute for Advanced Studies (IHS)
(wo)
Vienna
(wann)
1995
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kunst, Robert M.
- Institute for Advanced Studies (IHS)
Entstanden
- 1995
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