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Time Series Econometrics
Revised and updated for the second edition, this textbook allows students to work through classic texts in economics and finance, using the original data and replicating their results. In this book, the author rejects the theorem-proof approach as much as possible, and emphasizes the practical application of econometrics. They show with examples how to calculate and interpret the numerical results. This book begins with students estimating simple univariate models, in a step by step fashion, using the popular Stata software system. Students then test for stationarity, while replicating the actual results from hugely influential papers such as those by Granger & Newbold, and Nelson & Plosser....
Time Series Econometrics
In this book, the author rejects the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. They show with examples how to calculate and interpret the numerical results. This book begins with students estimating simple univariate models, in a step by step fashion, using the popular Stata software system. Students then test for stationarity, while replicating the actual results from hugely influential papers such as those by Granger and Newbold, and Nelson and Plosser. Readers will learn about structural breaks by replicating papers by Perron, and Zivot and Andrews. They then turn to models of conditional volatility, replicating papers by Bollerslev. Finally, students estimate multi-equation models such as vector autoregressions and vector error-correction mechanisms, replicating the results in influential papers by Sims and Granger. The book contains many worked-out examples, and many data-driven exercises. While intended primarily for graduate students and advanced undergraduates, practitioners will also find the book useful.
Structural Vector Autoregressive Analysis
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Number Theory and the Periodicity of Matter
This book presents a fully scientific account of the use of the golden ratio. It explores the observation that stable nucleides obey a number theory based general law. The discovery described in this book could be of seminal significance, also in other fields where the golden ratio is known to be of fundamental importance.
The Cointegrated VAR Model
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a t...
The Macroeconomics of Corruption
This textbook examines corruption through a macroeconomic lens, exploring the relationship between corruption, fiscal policy, and political economy. The book merges macroeconomic growth models with elements of political economic theory to address important applied topics such as income inequality within and across countries, growth slowdowns, and fiscal crises. Most of the basic ideas are illustrated using a two-period model of government investment that captures the future cost of policies that favor the present (Chapters 2-3). The more subtle and advanced issues are illustrated and, in some cases, quantified, using the overlapping-generations model of economic growth (Chapters 4-6). The mo...
Econometrics of Structural Change
Econometric models are made up of assumptions which never exactly match reality. Among the most contested ones is the requirement that the coefficients of an econometric model remain stable over time. Recent years have therefore seen numerous attempts to test for it or to model possible structural change when it can no longer be ignored. This collection of papers from Empirical Economics mirrors part of this development. The point of departure of most studies in this volume is the standard linear regression model Yt = x;fJt + U (t = I, ... , 1), t where notation is obvious and where the index t emphasises the fact that structural change is mostly discussed and encountered in a time series context. It is much less of a problem for cross section data, although many tests apply there as well. The null hypothesis of most tests for structural change is that fJt = fJo for all t, i.e. that the same regression applies to all time periods in the sample and that the disturbances u are well behaved. The well known Chow test for instance assumes t that there is a single structural shift at a known point in time, i.e. that fJt = fJo (t
Mechanics of Crustal Rocks
F.K. Lehner: A Review of the Linear Theory of Anisotropic Poroelastic Solids. - J.W. Rudnicki: Eshelby's Technique for Analyzing Inhomogeneities in Geomechanics. - Y. Gueguen, M. Kachanov: Effective Elastic Properties of Cracked and Porous Rocks - an Overview. - J.L. Raphanel: 3D Morphology Evolution of Solid-Fluid Interfaces by Pressure Solution. - Y.M. Leroy: An Introduction to the Finite-Element Method for Linear and Non-linear Static Problems. The mechanical behaviour of the earth's upper crust enters into a great variety of questions in different areas of the geological and geophysical sciences as well as in the more applied geotechnical disciplines. This volume presents a selection of ...
Oxygen-Enhanced Combustion
Combustion technology has traditionally been dominated by air/fuel combustion. However, two developments have increased the significance of oxygen-enhanced combustion - new technology producing oxygen less expensively and the increased importance of environmental regulations. Advantages of oxygen-enhanced combustion include numerous environmental benefits as well as increased energy efficiency and productivity. The text compiles information about using oxygen to enhance high temperature industrial heating and melting processes - serving as a unique resource for specialists implementing the use of oxygen in combustion systems; combustion equipment and industrial gas suppliers; researchers; fu...
