Time Series Econometrics (V2)

By Pierre Perron

Volume 2 is about statistical methods related to structural change in time series models. The approach adopted is off-line 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 and/or inference in a variety of models: short-memory regressors and errors, trends with integrated and/or stationary errors, autoregressions, cointegrated models, multivariate systems of equations, endogenous regressors, long-memory series, among others. Other issues covered include the problems of non-monotonic 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.

• Format: Hardcover
• Language: English
• ISBN: 9813237899
• ISBN13: 9789813237896
• Release Date: November 2018
• Publisher: World Scientific Publishing Company
• Length: 972 Pages
• Weight: 3.21 lbs.
• Dimensions: 2.0" x 6.0" x 9.0"