Title: Nonstationary Time Series Analysis and Cointegration (Advanced Texts in Econometrics)
Publisher: Oxford University Press
Publication Date: 1994
Language: English
ISBN 10: 0198773927
ISBN 13: 9780198773924
Binding: Soft cover
Condition: New

About this title

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

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.

"About this title" may belong to another edition of this title.

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