Non-stationary Time Series Analysis and Cointegration (Advanced Texts in Econometrics) - Hardcover

Hargreaves, Colin P.

Hardcover

ISBN 10: 0198773919 ISBN 13: 9780198773917

Publisher: Oxford University Press, 1994

Synopsis

Major developments in the analysis of non-stationary time series and cointegration are described in this study. Papers include David Hendry's work on forecasting, Peter Phillip's work on Bayesian models, Svend Hylleberg's work on seasonality, and Adrian Pagan's work on real business cycle models. Other topics covered include an overview of the different estimators of cointegrating relationships, and a new test of cointegration. Applications find roots in macroeconomic series, test the Fisher Hypothesis, test money demand functions, and test for inflation bubbles.

About this title

Review

This volume covers a very comprehensive range of material, and most of the methodological content is either very recent or new, yet considerable emphasis is given to helpful practical application of the various techniques described. As such, it ought to have considerable appeal to theorists and practitioners alike. (Economic Journal)

This volume covers a very comprehensive range of material, and most of the methodological content is either very recent or new, yet considerable emphasis is given to helpful practical applications of the various techniques described. As such, it ought to have considerable appeal to theorists and practitioners alike. (Economic Journal)

Edition details

• Publisher: Oxford University Press
• Publication date: 1994
• Language: English
• ISBN 10: 0198773919
• ISBN 13: 9780198773917
• Binding: Hardcover
• Number of pages: 326