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New Developments in Time Series Econometrics

  • Conference proceedings
  • © 1994

Overview

Editors:
  1. Jean-Marie Dufour

    1. Université de Montréal, Montréal, Canada

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    You can also search for this editor in PubMed   Google Scholar

  2. Baldev Raj

    1. School of Business and Economics, Wilfrid Laurier University, Waterloo, Canada

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

Part of the book series: Studies in Empirical Economics (STUDEMP)

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Table of contents (12 papers)

  1. Front Matter

    Pages i-v
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  2. New Developments in Time Series Econometrics: An Overview

    1. New Developments in Time Series Econometrics: An Overview

      • Jean-Marie Dufour, Baldev Raj
      Pages 1-8

  3. Modelling of Multivariate Economic Time Series

    1. Front Matter

      Pages 9-9
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    2. Usefulness of Linear Transformations in Multivariate Time-Series Analysis

      • George C. Tiao, Ruey S. Tsay, Taychang Wang
      Pages 11-37

    3. VAR Modelling and Haavelmo’s Probability Approach to Macroeconomic Modelling

      • Katarina Juselius
      Pages 39-66

    4. Inference in Expectations Models of the Term Structure: A Non-parametric Approach

      • Bryan Campbell, John W. Galbraith
      Pages 67-82

    5. Adjustment Costs and Time-To-Build in Factor Demand in the U.S. Manufacturing Industry

      • Franz C. Palm, H. M. M. Peeters, G. A. Pfann
      Pages 83-115

  4. Structural Change Analysis

    1. Front Matter

      Pages 117-117
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    2. Parameter Constancy in Cointegrating Regressions

      • Carmela E. Quintos, Peter C. B. Phillips
      Pages 119-150

    3. The HUMP-Shaped Behavior of Macroeconomic Fluctuations

      • Pierre Perron
      Pages 151-171

    4. The Sources of the U.S. Money Demand Instability

      • Helmut Lütkepohl
      Pages 173-187

  5. Seasonality, Cointegration and Fractional Integration

    1. Front Matter

      Pages 189-189
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    2. On the (Mis)Specification of Seasonality and its Consequences: An Empirical Investigation with US Data

      • Eric Ghysels, Hahn S. Lee, Pierre L. Siklos
      Pages 191-204

    3. Seasonal Cointegration, Common Seasonals, and Forecasting Seasonal Series

      • Robert M. Kunst
      Pages 205-220

    4. A Note on Johansen’s Cointegration Procedure when Trends are Present

      • Pierre Perron, John Y. Campbell
      Pages 221-233

    5. Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models

      • Ching-Fan Chung, Richard T. Baillie
      Pages 235-250
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Keywords

About this book

This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area.

Editors and Affiliations

  • Université de Montréal, Montréal, Canada

    Jean-Marie Dufour

  • School of Business and Economics, Wilfrid Laurier University, Waterloo, Canada

    Baldev Raj

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