Non-Stationary Time Series Analysis and Cointegration - Brossura

Hargreaves, Colin

Brossura

ISBN 10: 0198773927 ISBN 13: 9780198773924

Casa editrice: OUP Oxford, 1994

Riassunto

Major developments in the analysis of non-stationary time series and co-integration are shown in this book. Papers include David Hendry's work on forecasting, Peter Phillip's work on Bayesian models, Svend Hylleberg's work on seasonality, and Adrian Pagan's work on real business cycle models.

Other topics covered include an overview of the different estimators of cointegrating relationships, and a new test of cointegration. Applications are shown finding roots in macroeconomic series, testing the Fisher Hypothesis, testing money demand functions, and testing for inflation bubbles.

The book provides good coverage of the depth of this literature showing the importance of an understanding of non-stationarity and co-integration.

The other contributors are: F. Canova, Mike P. Clements, Francis X. Diebold, Steven N. Durlauf, Neil R. Ericsson, M. Finn, Colin Hargreaves, David Harris, Mark A. Hooker, Brett Inder, Joon-Haeng Lee, Hong-Anh Tran, Gretchen C. Weinbach

Su questo libro

Recensione

This volume covers a very comprehensive range of material, and most of the methodological content is either very recent or new, yet considerable emphasis is given to helpful practical application of the various techniques described. As such, it ought to have considerable appeal to theorists and practitioners alike. (Economic Journal)

This volume covers a very comprehensive range of material, and most of the methodological content is either very recent or new, yet considerable emphasis is given to helpful practical applications of the various techniques described. As such, it ought to have considerable appeal to theorists and practitioners alike. (Economic Journal)

Dettagli dell'edizione

• Editore: OUP Oxford
• Data di pubblicazione: 1994
• Lingua: Inglese
• ISBN 10: 0198773927
• ISBN 13: 9780198773924
• Rilegatura: Copertina flessibile
• Numero di pagine: 328
• Contatto del produttore: non disponibile
• Persona responsabile: Ufficio Anagrafiche Messaggerie; ufficio.anagrafiche@meli.it; ; Via Verdi, 8; Assago Milano; 20090; Italia