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Author: Peter Reinhard Hansen Publisher: Oxford University Press, USA ISBN: 9780198776086 Category : Business & Economics Languages : en Pages : 178
Book Description
Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.
Author: Peter Reinhard Hansen Publisher: Oxford University Press, USA ISBN: 9780198776086 Category : Business & Economics Languages : en Pages : 178
Book Description
Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.
Author: Bhaskara B. Rao Publisher: Springer ISBN: 1349235296 Category : Business & Economics Languages : en Pages : 247
Book Description
`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.
Author: Richard I. D. Harris Publisher: Prentice Hall ISBN: 9780133558920 Category : Business & Economics Languages : en Pages : 176
Book Description
Cointegration has become an essential tool for applied economists wanting to estimate time series models. Without some form of testing for cointegration, non-stationary variables can lead to spurious regressions; this book introduces the student and practitioner to (co)integration testing and techniques at a very moderate technical level. The book's aim is a practical one: testing for (co)integration is explained thoroughly and with plenty of examples and there is an emphasis throughout on explaining how these tests are actually performed. Key Features: 'toolkit' approach with an emphasis on practice and the actual tests used, covers the Engle-Granger procedure, covers the Johansen technique, overview of structural VAR modelling, advanced and difficult concepts presented in technical boxes, thus preserving the flow of exposition, and boxed examples throughout. Though the material is presented non-technically, the reader will find that the book covers in detail those techniques that are now becoming standard in the literature. Readers are also taken through examples using relevant software such as PcFiml and Cats (in Rats).
Author: Søren Johansen Publisher: Oxford University Press, USA ISBN: 0198774508 Category : Business & Economics Languages : en Pages : 280
Book Description
This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Author: Halbert White Publisher: Oxford University Press, USA ISBN: 9780198296836 Category : Business & Economics Languages : en Pages : 512
Book Description
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Author: Colin P. Hargreaves Publisher: Oxford University Press, USA ISBN: Category : Business & Economics Languages : en Pages : 336
Book Description
Nonstationary Time Series Analysis and Cointegration shows major developments in the econometric analysis of the long run (of nonstationarity and cointegration) - a field which has developed dramatically over the last twelve years to have a profound effect on econometric analysis in general. The papers here describe and evaluate new methods, provide useful overviews, and show detailed implementations helpful to practitioners. Papers include two substantive analyses of economic forecasting, based around an integral understanding of integration and cointegration and an evaluation of real business cycle models. There is an evaluation of different cointegration estimators and a new test for cointegration. There is a discussion of the effects of seasonality, looking at seasonal unit roots and at encompassing modelling with seasonally unadjusted versus adjusted data. A different style of nonstationarity is raised in a discussion of testing for inflationary bubbles and for time-varying transition probabilities in Hamilton's Markov switching model. This volume provides wide-ranging coverage of the literature, showing the importance of nonstationarity and cointegration.
Author: Peter Reinhard Hansen
Author: Peter Reinhard Hansen
Author: Peter Hansen
Author: Bhaskara B. Rao
Author: Richard I. D. Harris
Author: Søren Johansen
Author: Bernhard Pfaff
Author: Katarina Juselius
Author: Halbert White
Author: Colin P. Hargreaves
Author: Michael McAleer