Non-Stationary Time Series Analysis and Cointegration

Colin P. Hargreaves

ISBN 10: 0198773927 / ISBN 13: 9780198773924

Editore: Oxford UP, 1994

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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

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)

Dati bibliografici

Titolo: Non-Stationary Time Series Analysis and ...
Casa editrice: Oxford UP
Data di pubblicazione: 1994
Legatura: Papeback
Condizione: Brand New
Edizione: Edizione Internazionale