The last decade has brought dramatic changes in the way that researchers analyze economic and financial time series. This book synthesizes these recent advances and makes them accessible to ...first-year graduate students. James Hamilton provides the first adequate text-book treatments of important innovations such as vector autoregressions, generalized method of moments, the economic and statistical consequences of unit roots, time-varying variances, and nonlinear time series models. In addition, he presents basic tools for analyzing dynamic systems (including linear representations, autocovariance generating functions, spectral analysis, and the Kalman filter) in a way that integrates economic theory with the practical difficulties of analyzing and interpreting real-world data. Time Series Analysis fills an important need for a textbook that integrates economic theory, econometrics, and new results. The book is intended to provide students and researchers with a self-contained survey of time series analysis. It starts from first principles and should be readily accessible to any beginning graduate student, while it is also intended to serve as a reference book for researchers.
Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full ...range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
This is the new and totally revised edition of Lütkepohl's classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, ...model checking, and for using the models for economic analysis and forecasting.
This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. ...It covers S+FinMetrics 2.0 and includes new chapters.
Most sexually transmitted infections (STIs) can be accurately diagnosed and treated during asymptomatic carriage. Widespread screening for these STIs is therefore assumed to be an effective way to ...reduce their prevalence and associated disease. In this review, we provide evidence that this is the case for HIV and syphilis. However, for other STIs such as Neisseria gonorrhoeae and Chlamydia trachomatis, our review reveals that the evidence that screening reduces infection prevalence and associated disease is weak. There is also growing evidence of harms from screening that might outweigh any benefits. The harms include the increased consumption of antimicrobials that follows frequent screening and increased detection of asymptomatic STIs in key populations, such as men who have sex with men taking HIV pre-exposure prophylaxis, and associated risk of antimicrobial resistance in target and non-target organisms. There may also be psycho-social harm associated with an STI diagnosis. We conclude that in the absence of symptoms, in high STI prevalence populations frequent STI screening should be limited to HIV and syphilis.
Understanding the natural history of a disease is as important as knowing its cause(s) for effective disease prevention and treatment. Yet, our current understanding of the natural history of chronic ...obstructive pulmonary disease (COPD) is incomplete and often controversial. This article discusses the current gaps, and hence opportunities for research, in this field. In particular, it discusses the following six specific questions. 1) Is COPD a "single" disease? 2) Is COPD "only" a lung disease? 3) When does COPD begin or what is "early" COPD? 4) How does COPD "progress"? 5) How do we assess disease "severity"? 6) Can COPD be prevented (beyond smoking cessation) or its course be modified once detected?
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It attempts to bridge the gap between methods and realistic ...applications. This book contains the most important approaches to analyse time series which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series Granger causality tests and vector autoregressive models are presented. For real applied work the modelling of nonstationary uni- or multivariate time series is most important. Therefore, unit root and cointegration analysis as well as vector error correction models play a central part. Modelling volatilities of financial time series with autoregressive conditional heteroskedastic models is also treated.
Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has ...become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.
This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and ...nonstationary frameworks, and both parametric and nonparametric models are discussed. The book contains examples of nonlinear models in economic theory and presents the most common nonlinear time series models. Importantly, it shows the reader how to apply these models in practice. For this purpose, the building of various nonlinear models with its three stages of model building: specification, estimation and evaluation, is discussed in detail and is illustrated by several examples involving both economic and non-economic data. Since estimation of nonlinear time series models is carried out using numerical algorithms, the book contains a chapter on estimating parametric nonlinear models and another on estimating nonparametric ones. Forecasting is a major reason for building time series models, linear or nonlinear. The book contains a discussion on forecasting with nonlinear models, both parametric and nonparametric, and considers numerical techniques necessary for computing multi-period forecasts from them. The main focus of the book is on models of the conditional mean, but models of the conditional variance, mainly those of autoregressive conditional heteroskedasticity, receive attention as well. A separate chapter is devoted to state space models. As a whole, the book is an indispensable tool for researchers interested in nonlinear time series and is also suitable for teaching courses in econometrics and time series analysis. Available in OSO:
This paper proposes a new control technique, which only employs the primary-side controller and load identification approach to adjust charging voltage/current for series-series (SS) and ...series-parallel (SP) compensated wireless power transfer (WPT) systems. The advantages are that dual-side wireless communication for real-time charging current/voltage adjustment is avoided as well as it is suitable for different charging modes, e.g., constant voltage (CV) and constant current (CC) charging defined by the battery charging profile. The load identification approach, which utilizes reflected impedance theory and quadrature transformation algorithm for calculating the active power, is proposed to estimate the equivalent load resistance of battery. Then, the CV/CC charging for both SS and SP compensation are achieved by the PI-controlled phase-shift H-bridge inverter. The simulation and experimental results validate the feasibility of proposed control method. During the CC charging, 3.01 and 3.03 A for SS and SP compensation with the error of 1.2% and 1.4% are achieved. During the CV charging, 25.8 and 25.7 V for SS and SP compensation with the error of 1.1% and 1.3% are realized. The proposed method improves the performance of both SS- and SP-compensated WPT systems to be more suitable for the applications that require compact and lightweight receiver.
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