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Time-Series-Based Econometrics: Unit Roots and Co-Integrations (Advanced Texts in Econometrics) - Softcover
Synopsis
In the last decade, there have been rapid and enormous developments in the field of unit roots and cointegration, but this progress has taken divergent directions and has been subjected to criticism from outside the field. This book responds to those criticisms, clearly relating cointegration to economic theories and describing 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 the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
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About the Author
Michio Hatanaka is Professor of Economics at Tezukayama University.
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Time-Series-Based Econometrics: Unit Roots and Co-Integrations (Advanced Texts in Econometrics)
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Oxford University Press, 1996
ISBN 10: 0198773536
ISBN 13: 9780198773535
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Time-Series-Based Econometrics
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Oxford University Press, 1996
ISBN 10: 0198773536
ISBN 13: 9780198773535
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Time-Series-Based Econometrics : Unit Roots and Co-integrations: Unit Roots and Co-integrations (Advanced Texts in Econometrics)
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Time-Series-Based Econometrics (Paperback)
Published by
Oxford University Press, Oxford, 1996
ISBN 10: 0198773536
ISBN 13: 9780198773535
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Paperback. Condition: new. Paperback. In the last decade, time-series econometrics has made extraordinary developments on unit roots and cointegration. However, this progress has taken divergent directions, and has been subjected to criticism from outside the field. In this book, Professor Hatanaka surveys the field, examines those portions that are useful for macroeconomics, and responds to the criticism. His survey of the literature covers not only econometric methods, but also the application ofthese methods to macroeconomic studies.The most vigorous criticism has been that unit roots to do not exist in macroeconomic variables, and thus that cointegration analysis isirrelevant to macroeconomics. The judgement of this book is that unit roots are present in macroeconomic variables when we consider periods of 20 to 40 years, but that the critics may be right when periods of 100 years are considered. Fortunately, most of the time series data used for macroeconomic studies cover fall within the shorter time span.Among the numerous methods for unit roots and cointegration, those useful from macroeconomic studies are examined and explainedin detail, without overburdening the reader with unnecessary mathematics. Other, less applicable methods are dicussed briefly, and their weaknesses are exposed. Hatanaka has rigourously based hisjudgements about usefulness on whether the inference is appropriate for the length of the data sets available, and also on whether a proper inference can be made on the sort of propositions that macroeconomists wish to test.This book highlights the relations between cointegration and economic theories, and presents cointegrated regression as a revolution in econometric methods. Its analysis is of relevance to academic and professional or applied econometricians.Step-by-step explanations of concepts and techniques make the book a self-contained text for graduate students. A study of the divergent directions which have evolved in developments in the field of unit roots and cointegration. This book relates cointegration to economic theories and describes cointegrated regression as a revolution in econometric methods for macroeconomics. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability. Seller Inventory # 9780198773535
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Time-Series-Based Econometrics : Unit Roots and Co-Integrations
Published by
Oxford University Press, 1996
ISBN 10: 0198773536
ISBN 13: 9780198773535
Used
Softcover
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