Non-Stationary Time Series Analysis and Cointegration (Advanced Texts in Econometrics) - Softcover

Hargreaves, Colin

Softcover

ISBN 10: 0198773927 ISBN 13: 9780198773924

Publisher: OUP Oxford, 1994

Synopsis

Major developments in the analysis of non-stationary time series and co-integration are shown in this book. 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 are shown finding roots in macroeconomic series, testing the Fisher Hypothesis, testing money demand functions, and testing for inflation bubbles.

The book provides good coverage of the depth of this literature showing the importance of an understanding of non-stationarity and co-integration.

The other contributors are: F. Canova, Mike P. Clements, Francis X. Diebold, Steven N. Durlauf, Neil R. Ericsson, M. Finn, Colin Hargreaves, David Harris, Mark A. Hooker, Brett Inder, Joon-Haeng Lee, Hong-Anh Tran, Gretchen C. Weinbach

About this title

Product Description

Non-stationary Time Series Analysis and Cointegration The econometric analysis of the long run has developed dramatically over the last 12 years. This volume describes and evaluates new methods, provides useful overviews, and shows detailed implementations helpful to practitioners.

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: OUP Oxford
• Publication date: 1994
• Language: English
• ISBN 10: 0198773927
• ISBN 13: 9780198773924
• Binding: Paperback
• Number of pages: 328