Time-series-based Econometrics: Unit Roots and Cointegration (Advanced Texts in Econometrics) - Hardcover

Hatanaka, Michio

Hardcover

ISBN 10: 0198773528 ISBN 13: 9780198773528

Publisher: Oxford University Press, 1996

Synopsis

Although there has been rapid development in the field of unit roots and cointegration, this progress has taken divergent directions, and has been subjected to criticism. This monograph clearly relates cointegration to economic theories and describes cointegrated regression as a revolution in econometric methods for macroeconomics. It provides a guide for the selection of appropriate inference methods to study macroeconomic relations. The discussion of unit roots and cointegration starts from first principles, builds up explanations of concepts and techniques step-by-step, and ultimately shows how the techniques have been applied to economic studies.

About this title

Review

Overall, this book provides an excellent self-contained guide to both the theory and practice of contemporary time series econometrics. (Economic Journal)

This textbook is aimed primarily at the graduate market yet will also be of considerable interest to professionals in the fields of econometrics and applied macroeconomics ... provides an excellent self-contained guide to both the theory and practice of contemporary time series econometrics. (S.J. Leybourne, The Economic Journal, Vol 107, No. 440, January 1997)

The book contains most of the most recent research on unit roots and co-integration published in various journals. Thus, the reader gets a quick and very sound overview of the latest developments in a unique notation. Herbert Buscher - Zentralblatt fur Mathematik und ihre Grenzgebiete 906/99.

About the Author

Michio Hatanaka is Professor of Economics at Tezukayama University.

Edition details

• Publisher: Oxford University Press
• Publication date: 1996
• Language: English
• ISBN 10: 0198773528
• ISBN 13: 9780198773528
• Binding: Hardcover
• Number of pages: 306