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This accessible textbook introduces the foundations of applied econometrics and statistics for undergraduate students … for upper undergraduate students taking courses in introductory econometrics and statistics, as well as students in … Østfold University College, Norway. He has over 15 years' experience of teaching statistics, mathematics and econometrics. He …
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Introducing the approach by Masanao Aoki (1981) to time series econometrics, we show that the dynamics of symmetric … five different country pairs in the post-Bretton-Woods era. We find evidence for the symmetry of the cointegration space …, which is of practical importance as it allows for the identification of the cointegration vectors in much smaller systems …
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In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
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We propose a method to explore the causal transmission of an intervention through two endogenous variables of interest. We refer to the intervention as a catalyst variable. The method is based on the reduced-form system formed from the conditional distribution of the two endogenous variables...
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