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Artykuły w czasopismach na temat "Cointegrated VAR"
Warne, Anders. "Inference in Cointegrated VAR Systems". Review of Economics and Statistics 79, nr 3 (sierpień 1997): 508–11. http://dx.doi.org/10.1162/003465300556922.
Pełny tekst źródłaJuselius, Katarina. "HAAVELMO’S PROBABILITY APPROACH AND THE COINTEGRATED VAR". Econometric Theory 31, nr 2 (8.07.2014): 213–32. http://dx.doi.org/10.1017/s0266466614000279.
Pełny tekst źródłaEngsted, Tom. "Explosive bubbles in the cointegrated VAR model". Finance Research Letters 3, nr 2 (czerwiec 2006): 154–62. http://dx.doi.org/10.1016/j.frl.2006.03.004.
Pełny tekst źródłaSaikkonen, Pentti, i HELMUT Lütkepohl. "Infinite-Order Cointegrated Vector Autoregressive Processes". Econometric Theory 12, nr 5 (grudzień 1996): 814–44. http://dx.doi.org/10.1017/s0266466600007179.
Pełny tekst źródłaJohansen, Søren, i Morten Ørregaard Nielsen. "Nonstationary Cointegration in the Fractionally Cointegrated VAR Model". Journal of Time Series Analysis 40, nr 4 (2.12.2018): 519–43. http://dx.doi.org/10.1111/jtsa.12438.
Pełny tekst źródłaDolado, Juan J., i Helmut Lütkepohl. "Making wald tests work for cointegrated VAR systems". Econometric Reviews 15, nr 4 (styczeń 1996): 369–86. http://dx.doi.org/10.1080/07474939608800362.
Pełny tekst źródłaSACHDEVA, J. K., i Jyoti Nair. "Cointegration of East Asian, Indian and European Markets– A Study of Impact on Indian Bourses". Journal of Global Economy 14, nr 1 (8.11.2018): 3–27. http://dx.doi.org/10.1956/jge.v14i1.490.
Pełny tekst źródłaHansen, Henrik, i Søren Johansen. "Some tests for parameter constancy in cointegrated VAR‐models". Econometrics Journal 2, nr 2 (1.12.1999): 306–33. http://dx.doi.org/10.1111/1368-423x.00035.
Pełny tekst źródłaPétursson, Thórarinn G., i Torsten Sløk. "Wage formation and employment in a cointegrated VAR model". Econometrics Journal 4, nr 2 (1.12.2001): 191–209. http://dx.doi.org/10.1111/1368-423x.00062.
Pełny tekst źródłaCamarero, M., J. Ordónez i C. R. Tamarit. "Monetary transmission in Spain: a structural cointegrated VAR approach". Applied Economics 34, nr 17 (listopad 2002): 2201–12. http://dx.doi.org/10.1080/00036840210138419.
Pełny tekst źródłaRozprawy doktorskie na temat "Cointegrated VAR"
Canepa, Alessandra. "Bootstrap inference in cointegrated VAR models". Thesis, University of Southampton, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.268384.
Pełny tekst źródłaZhang, Yanqun. "Cointegrated VAR model and China's monetary policy : 1979-2004 /". Aachen : Shaker, 2007. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=015707954&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
Pełny tekst źródłaSingh, Shiu Raj. "Dynamics of macroeconomic variables in Fiji : a cointegrated VAR analysis". Diss., Lincoln University, 2008. http://hdl.handle.net/10182/774.
Pełny tekst źródłaZhang, Yanqun [Verfasser]. "Cointegrated VAR Model and China's Monetary Policy: 1979-2004 / Yanqun Zhang". Aachen : Shaker, 2007. http://d-nb.info/1166509311/34.
Pełny tekst źródłaBoca, Saravia Alexander Antonio. "Presidential approval in Peru : an empirical analysis using a fractionally cointegrated VAR". Bachelor's thesis, Pontificia Universidad Católica del Perú, 2019. http://hdl.handle.net/20.500.12404/15294.
Pełny tekst źródłaKim, Hae-min. "Empirical study of new Keynesian model using cointegrated VAR : what New Zealand data tell us". Thesis, Massachusetts Institute of Technology, 2009. http://hdl.handle.net/1721.1/54656.
Pełny tekst źródłaCataloged from PDF version of thesis.
Includes bibliographical references (p. 27-28).
Econometric analysis of rational expectations models has been a widely studied topic in the macro-econometric literature. This thesis looks in particular at evaluating Neokeynesian model (NKM) with respect to its conformity with the data. Among the available econometric techniques, this thesis investigates what cointegrated VAR can illuminate about how close the NKM gets to the data. This project closely follow the approach taken by Mikael Juselius (2008) and extends the analysis to the New Zealand data. The findings from the thesis lend support to Juselius' conclusions but in a limited way. The results from this thesis question the robustness of his claims based on US data supporting inexact rational expectations models.
by Hae-min Kim.
S.M.
Fonseca, Eder Lucio da. "Modelo de cointegração variando com o tempo: abordagem via ondaletas". Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-26032017-175337/.
Pełny tekst źródłaTwo or more non-stationary time series are cointegrated if there is a long-run equilibrium relationship between them. In recent decades, interest in the literature on the subject of cointegration increased expressively. Traditional models that address this issue assume that the cointegration vector does not vary over time. However, there is evidence in the literature that this assumption can be considered very restrictive. Using the concept of wavelets, we propose a vector error correction model in which is allowed to the cointegration vector vary over time. Unlike similar works, the cointegration vector is allowed to vary smoothly or abruptly, depending on the considered family of wavelets. Monte Carlo experiments were used to study the quantiles and the power of the likelihood ratio test of the hypotheses of usual cointegration versus the time-varying cointegration. The experiments suggest that the test has power against alternatives that vary over time. It was demonstrated the ability of the model to deal satisfactorily with simulated cointegrated series, which presented regime change for the cointegration vector. The model was also used to test the validity of the Purchasing Power Parity hypothesis between United States and twelve countries of the Organization for Economic Cooperation and Development (OECD): Canada, Japan and ten other European countries. As in similar works, evidence of time-varying cointegration was verified among countries. Bootstrap p-values were used to verify the significance of the likelihood ratio of the test.
Książki na temat "Cointegrated VAR"
Warne, Anders. Inference in cointegrated VAR systems. Stockholm: Stockholm University, Institute for International Economic Studies, 1993.
Znajdź pełny tekst źródłaThe cointegrated VAR model: Methodology and applications. Oxford: Oxford University Press, 2006.
Znajdź pełny tekst źródłaMONEY, STOCK PRICES AND CENTRAL BANKS: A COINTEGRATED VAR ANALYSIS. SPRINGER, 2011.
Znajdź pełny tekst źródłaWiedmann, Marcel. Money, Stock Prices and Central Banks: A Cointegrated VAR Analysis. Physica, 2011.
Znajdź pełny tekst źródłaJuselius, Katarina. The Cointegrated VAR Model: Methodology and Applications (Advanced Texts in Econometrics). Oxford University Press, USA, 2007.
Znajdź pełny tekst źródłaJuselius, Katarina. The Cointegrated VAR Model: Methodology and Applications (Advanced Texts in Econometrics). Oxford University Press, USA, 2007.
Znajdź pełny tekst źródłaCzęści książek na temat "Cointegrated VAR"
Brüggemann, Ralf. "Model Reduction in Cointegrated VAR Models". W Lecture Notes in Economics and Mathematical Systems, 59–104. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-642-17029-4_3.
Pełny tekst źródłaKammerdiner, Alla R., i Panos M. Pardalos. "Analysis of Multichannel EEG Recordings Based on Generalized Phase Synchronization and Cointegrated VAR". W Computational Neuroscience, 317–39. New York, NY: Springer New York, 2010. http://dx.doi.org/10.1007/978-0-387-88630-5_18.
Pełny tekst źródłaMartin, Bernhard, i Svetlozar T. Rachev. "A Stable Cointegrated Var Model for Credit Returns with Time-Varying Volatility". W Modeling and Control of Economic Systems 2001, 207–12. Elsevier, 2003. http://dx.doi.org/10.1016/b978-008043858-0/50036-x.
Pełny tekst źródła"Testing the fiscal theory of the price level for European countries: A cointegrated VAR approach". W Macroeconomic Policy in the European Monetary Union, 141–58. Routledge, 2007. http://dx.doi.org/10.4324/9780203934531-14.
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