Time Series Models, Unit Roots and Cointegration: An Introduction - Softcover

Stevans, Dr. Lonnie K

Softcover

ISBN 10: 1481271229 ISBN 13: 9781481271226

Publisher: CreateSpace Independent Publishing Platform, 2012

Synopsis

The econometric literature on unit roots took off after the publication of the paper by Nelson and Plosser (1982) that argued that most macroeconomic series have unit roots and that this is important for the analysis of macroeconomic policy. Yule (1926) suggested that regressions based on trending time series data can be spurious. This problem of spurious correlation was further pursued by Granger and Newbold (1974) and this also led to the development of the concept of cointegration (lack of cointegration implies spurious regression). The pathbreaking paper by Granger (1981), first presented at a conference at the University of Florida in 1980, did not “catch fire” until about five years later, and now the literature on cointegration has exploded. As for historical antecedents, Hendry and Morgan (1989) argue that Frisch’s concept of multicollinearity in 1934 can be viewed as a forerunner of the modern concept of cointegration. The recent developments on unit roots and cointegration have changed the way time series analysis is conducted. The publication of the book by Box and Jenkins (1970) changed the methods of time series analysis, but the recent developments have formalized and made systematic the ad hoc methods in Box and Jenkins. In addition, the asymptotic theory for these models has just recently been developed.

About this title

About the Author

Lonnie K. Stevans is an Associate Professor of Quantitative Methods at Hofstra University.

Edition details

• Publisher: CreateSpace Independent Publishing Platform
• Publication date: 2012
• Language: English
• ISBN 10: 1481271229
• ISBN 13: 9781481271226
• Binding: Paperback
• Number of pages: 44