MTU Library Catalogue

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Analysis of integrated and cointegrated time series with R / Bernhard Pfaff.

By: Pfaff, Bernhard.
Material type: materialTypeLabelBookSeries: Use R!.Publisher: New York : Springer, 2006Description: xi, 139 p. : ill. ; 24 cm. + pbk.ISBN: 9780387279596; 0387279598 .Subject(s): Time-series analysis -- Computer programs | R (Computer program language)DDC classification: 519.232
Contents:
Part I: Theoretical concepts -- Stationary autoregressive-moving average (ARMA) processes -- Nonstationary time series -- Cointegration -- Part II: Unit root tests -- Testing for the order of integration -- Further considerations -- Part III: Cointegration -- Single equation methods -- Multiple equation methods.
Holdings
Item type Current library Call number Copy number Status Barcode
General lending MTU Bishopstown Library Lending 519.232 (Browse shelf(Opens below)) 1 Available 00112650
Total holds: 0

Enhanced descriptions from Syndetics:

The analysis of integrated and co-integrated time series can be considered as the main methodology employed in applied econometrics. This book not only introduces the reader to this topic but also enables him to conduct the various unit root tests and co-integration methods on his own by utilising the free statistical programming environment R. The book encompasses seasonal unit roots, fractional integration, coping with structural breaks and inference in co-integrated vector autoregressive models as well. The book is enriched by numerous programming examples to artificial and real data so that it is suitable as a supplementary text for computer lab classes.Bernhard Pfaff studied economics at the universities of Göttingen, Germany; Davis, California; and Freiburg im Breisgau, Germany. He obtained a diploma and a doctorate degree at the economics department of the last one where he was employed as a research and teaching assistant. He has worked for many years as economist and quantitative analyst in research departments of financial institutions. Bernhard Pfaff is the author and maintainer of the contributed R package "urca".

Includes bibliographical references (pages 127-132) and indexes.

Part I: Theoretical concepts -- Stationary autoregressive-moving average (ARMA) processes -- Nonstationary time series -- Cointegration -- Part II: Unit root tests -- Testing for the order of integration -- Further considerations -- Part III: Cointegration -- Single equation methods -- Multiple equation methods.

Table of contents provided by Syndetics

  • Part I Theoretical Concepts
  • 1 Stationary Autoregressive-Moving Average (ARMA) Processes (p. 3)
  • 1.1 Characteristics of Time Series (p. 3)
  • 1.2 AR(p) Time Series Process (p. 6)
  • 1.3 MA(q) Time Series Process (p. 10)
  • 1.4 ARMA(p, q) Time Series Process (p. 13)
  • Summary (p. 16)
  • Exercises (p. 18)
  • 2 Nonstationary Time Series (p. 19)
  • 2.1 Trend- versus Difference-Stationary Series (p. 19)
  • 2.2 Unit Root Processes (p. 21)
  • 2.3 Long Memory Processes (p. 30)
  • Summary (p. 37)
  • Exercises (p. 38)
  • 3 Cointegration (p. 39)
  • 3.1 Spurious Regression (p. 39)
  • 3.2 Concept of Cointegration and Error-Correction Models (p. 41)
  • 3.3 Systems of Cointegrated Variables (p. 44)
  • Summary (p. 50)
  • Exercises (p. 51)
  • Part II Unit Root Tests
  • 4 Testing for the Order of Integration (p. 55)
  • 4.1 Dickey-Fuller-Type Tests (p. 55)
  • 4.2 Phillips-Perron Test (p. 59)
  • 4.3 ERS-Test (p. 62)
  • 4.4 Schmidt-Phillips (SP)-Test (p. 64)
  • 4.5 KPSS-Test (p. 67)
  • Summary (p. 70)
  • Exercises (p. 71)
  • 5 Further Considerations (p. 73)
  • 5.1 Stable Autoregressive (AR)(1)-Processes with Structural Breaks (p. 73)
  • 5.2 Seasonal Unit Roots (p. 78)
  • Summary (p. 84)
  • Exercises (p. 85)
  • Part III Cointegration
  • 6 Single Equation Methods (p. 89)
  • 6.1 Engle-Granger Two-Step Procedure (p. 89)
  • 6.2 Phillips-Ouliaris Method (p. 92)
  • Summary (p. 95)
  • Exercises (p. 95)
  • 7 Multiple Equation Methods (p. 97)
  • 7.1 The Vector Error Correction Model (VECM) (p. 97)
  • 7.1.1 Specification and Assumptions (p. 97)
  • 7.1.2 Determining the Cointegration Rank (p. 98)
  • 7.1.3 Testing for Weak Exogenity (p. 102)
  • 7.1.4 Testing Restrictions on [beta] (p. 105)
  • 7.2 VECMs and Structural Shift (p. 111)
  • Summary (p. 113)
  • Exercises (p. 114)
  • 8 Appendix (p. 115)
  • 8.1 Used CRAN Packages (p. 115)
  • 8.2 Time Series Data (p. 116)
  • 8.3 Technicalities (p. 117)
  • 9 Abbreviations, Nomenclature, and Symbols (p. 119)
  • List of Tables (p. 121)
  • List of Figures (p. 123)
  • List of Rcode (p. 125)
  • References (p. 127)
  • Name Index (p. 133)
  • Function Index (p. 135)
  • Index (p. 137)