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Providing an up-to-date survey of the recent developments in periodic time series, the book presents a large number of empirical results.  The first part of the book deals with model selection, diagnostic checking and forecasting of univariate periodic autoregressive models. Tests for periodic integration, are discussed, and an extensive discussion of the role of deterministic regressors in testing for periodic integration and in forecasting is provided.   The second part discusses multivariate periodic autoregressive models. It provides an overview of periodic cointegration models, as these are the most relevant. This overview contains single-equation type tests and a full-system approach based on generalized method of moments.  All methods are illustrated with extensive examples, and the book will be of interest to advanced graduate students and researchers in econometrics, as well as practitioners looking for an understanding of how to approach seasonal data.","brand":"WoB","offers":[{"title":"- \/ - \/ INTERNAL","offer_id":52424884912401,"sku":null,"price":0.0,"currency_code":"GBP","in_stock":true},{"title":"GB \/ NEW \/ INGRAM","offer_id":52424885764369,"sku":"NLS9780199242030","price":0.0,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0784\/4072\/6801\/files\/9780199242030.jpg?v=1759153212"},{"product_id":"generalized-method-of-moments-book-alastair-r-hall-9780198775218","title":"Generalized Method of Moments","description":"Generalized Method of Moments (GMM) has become one of the main statistical tools for the analysis of economic and financial data. This book is the first to provide an intuitive introduction to the method combined with a unified treatment of GMM statistical theory and a survey of recent important developments in the field. Providing a comprehensive treatment of GMM estimation and inference, it is designed as a resource for both the theory and practice of GMM: it discusses and proves formally all the main statistical results, and illustrates all inference techniques using empirical examples in macroeconomics and finance.  Building from the instrumental variables estimator in static linear models, it presents the asymptotic statistical theory of GMM in nonlinear dynamic models. Within this framework it covers classical results on estimation and inference techniques, such as the overidentifying restrictions test and tests of structural stability, and reviews the finite sample performance of these inference methods. And it discusses in detail recent developments on covariance matrix estimation, the impact of model misspecification, moment selection, the use of the bootstrap, and weak instrument asymptotics.","brand":"WoB","offers":[{"title":"- \/ - \/ INTERNAL","offer_id":52516090052881,"sku":null,"price":0.0,"currency_code":"GBP","in_stock":true},{"title":"GB \/ NEW \/ INGRAM","offer_id":52516090413329,"sku":"NLS9780198775218","price":0.0,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0784\/4072\/6801\/files\/9780198775218.jpg?v=1760500457"}],"url":"https:\/\/www.worldofbooks.com\/en-au\/collections\/advanced-texts-in-econometrics-book-series.oembed?page=2","provider":"World of Books ","version":"1.0","type":"link"}