Author: B. Bhaskara Rao
Publisher: Palgrave Macmilla
Keywords: economist, applied, cointegration
Number of Pages: 230
Published: 1995-12-15
List price: $49.00
ISBN-10: 0312158092
ISBN-13: 9780312158095

This volume of expository essays brings recent theoretical developments on unit roots and cointegration within the reach of the average applied economist. Contributors include well-known experts David Dickey, Dennis Jansen and Daniel Thornton, Phillipe Perron, Yash Mehra, Roger Perman and Dennis Holden and Glenn Otto. Their original works, some of which are published elsewhere, are now revised, extended and made more pedagogic. Data used in these works are given for replication of the original results. Methods of testing for unit roots, their implications and limitations, estimation of cointeg

Author: Richard I. D. Harris
Publisher: Prentice Hall
Keywords: modelling, econometric, analysis, cointegration, using
Number of Pages: 192
Published: 1995-05-17
List price: $32.00
ISBN-10: 0133558924
ISBN-13: 9780133558920

The book introduces co-integration techniques at a very moderate technical level; testing for (co-) integration is explained thoroughly with plenty of examples which emphasise how the tests are actually performed

Authors:Maddala G. S., Kim In-Moo,
Publisher: Cambridge University Press
Keywords: themes, modern, econometrics, change, structural, roots, cointegration, unit
Number of Pages: 524
Published: 1999-03-13
List price: $53.00
ISBN-10: 0521587824
ISBN-13: 9780521587822

Time series analysis has undergone many changes during recent years with the advent of unit roots and cointegration. This textbook by G. S. Maddala and In-Moo Kim is based on a successful lecture program and provides a comprehensive review of these topics as well as structural change. G. S. Maddala is one of the most distinguished writers of graduate and undergraduate econometrics textbooks today and Unit Roots, Cointegration and Structural Change represents a major contribution that will be of interest both to specialists and graduate and undergraduate students.

Authors:R. F. Engle, C. W. J. Granger,
Publisher: Oxford University Press, USA
Keywords: texts, econometrics, advanced, cointegration, relationships, readings, economic
Number of Pages: 312
Published: 1992-11-12
List price: $60.00
ISBN-10: 0198283393
ISBN-13: 9780198283393

In this interesting survey of recent developments in the field of cointegration, the authors discuss how cointegration (the linking of long run components of a pair or of a group or series), can be used to discuss some types of equilibrium and to introduce those equilibria into time-series models in a fairly uncontroversial way. The authors discuss the basic ideas in their introduction and the final chapters review the most recent developments in the field in a non-technical manner.

Authors:Peter Reinhard Hansen, Søren Johansen,
Publisher: Oxford University Press, USA
Keywords: econometrics, texts, advanced, cointegration, workbook
Number of Pages: 176
Published: 1999-02-18
List price: $135.00
ISBN-10: 019877608X
ISBN-13: 9780198776086

This workbook consists of exercises taken from Likelihood-Based Inferences in Cointegrated Vector Autoregressive Models by Soren Johansen, together with worked-out solutions.

Authors:Peter Reinhard Hansen, Søren Johansen,
Publisher: Oxford University Press, USA
Keywords: econometrics, texts, advanced, cointegration, workbook
Number of Pages: 176
Published: 1998-12-17
List price: $60.00
ISBN-10: 0198776071
ISBN-13: 9780198776079

This workbook consists of exercises taken from Likelihood-Based Inferences in Cointegrated Vector Autoregressive Models by Soren Johansen, together with worked-out solutions.

Author: Colin Hargreaves
Publisher: Oxford University Press(UK)
Keywords: advanced, texts, econometrics, cointegration, analysis, time, series, nonstationary
Number of Pages: 328
Published: 1994-10-19
List price: $65.00
ISBN-10: 0198773927
ISBN-13: 9780198773924

This collection of papers explores the major developments in the analysis of non-stationary time series and cointegration. It provides comprehensive coverage of the depth of the current research and demonstrates the importance of an understanding of non-stationarity and cointegration. Papers cover David Hendry’s work on forecasting, Peter Phillips’ work on Bayesian models, Svend Hylleberg’s work on seasonality, and Adrian Pagan’s work on real business cycle models. Also included is an overview of the different estimators of cointegrating relationships and a new test of