New Directions in Econometric Practice : General to Specific Modelling, Cointegration and Vector Autoregressions
Language: English
Published by Elgar Publishing, Incorporated, Edward, 1997
- Softcover
- Used
Seller: Better World Books Ltd, Dunfermline, United KingdomBetter World Books Ltd
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Former library copy. Pages intact with possible writing/highlighting. Binding strong with minor wear. Dust jackets/supplements may not be included. Includes library markings. Stock photo provided. Product includes identifying sticker. Better World Books: Buy Books. Do Good.
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- Title
- New Directions in Econometric Practice : General to Specific Modelling, Cointegration and Vector Autoregressions
- Author
- Deadman, Derek F., Charemza, Wojciech W.
- Publisher
- Elgar Publishing, Incorporated, Edward
- Publication year
- 1997
- Condition
- Very Good
- Binding
- Soft cover
- Language
- English
- ISBN 10
- 1858986036
- ISBN 13
- 9781858986036
- Edition
- 2nd.
- Item weight
- 1.184 pounds
- Dimensions
- N/A
This new edition contains substantially revised chapters on cointegration and vector autoregressive (VAR) modelling, reflecting the developments that have been made in these important areas since the first edition. Special attention is given to the Dickey-Pantula approach and the testing for the order of integration of a variable in the presence of a structural break. For VAR models, impulse response analysis is explained and illustrated. There is also a detailed but intuitive explanation of the Johansen method, an increasingly popular technique. The text contains specially constructed and original tables of critical values for a wide range of tests for stationarity and cointegration. These tables are for Dickey-Fuller tests, Dickey-Hasza-Fuller and HEGY seasonal integration tests and the Perron 'additive outlier' integration test.
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Better World Books Ltd
Dunfermline, United Kingdom
AbeBooks seller since October 13, 2008
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