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Synopsis
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 cointegration.
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
Colin P. Hargreaves is at Economic Modelling Bureau of Australia, Canberra.
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- PublisherOxford University Press
- Publication date1994
- ISBN 10 0198773927
- ISBN 13 9780198773924
- BindingPaperback
- LanguageEnglish
- Number of pages328
- EditorHargreaves Colin P.
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Non-Stationary Time Series Analysis and Cointegration (Advanced Texts in Econometrics)
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Nonstationary Time Series Analysis and Cointegration (Advanced Texts in Econometrics)
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Non-Stationary Time Series Analysis and Cointegration (Advanced Texts in Econometrics)
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Non-Stationary Time Series Analysis and Cointegration
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