New Developments in Time Series Econometrics

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

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.

• Econometric
• Multivariate Time Series
• Multivariate Zeitreihen
• VAR-Models
• Zeitreihenanalyse
• cointegration
• econometrics
• integration
• modeling
• nonparametric methods
• time series
• time series analysis
• value at risk
• value-at-risk
• Ökonometrie

• Université de Montréal, Montréal, Canada

  Jean-Marie Dufour

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

  Baldev Raj

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