Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (Paperback, New)

This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysing such data are of recent origin and there are few existing expositions of the literature. This book focuses on the exploration of relationships among integrated data series and the exploitation of these relationships in dynamic econometric modelling. The concepts of co-integration and error-correction models are fundamental components of the modelling strategy.

This area of time-series econometrics has grown in importance over the past decade and is of interest to econometric theorists and applied econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptive and purely theoretical accounts of the literature. The asymptotic theory of integrated processes is described and the tools provided by this theory are used to develop the distributions of estimators and test statistics. Practical modelling advice, and the use of techniques for systems estimation, are also emphasized.

A knowledge of econometrics, statistics, and matrix algebra at the level of a final-year undergraduate or first-year undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.

General

Imprint:	Clarendon Press
Country of origin:	United Kingdom
Series:	Advanced Texts in Econometrics
Release date:	May 1993
First published:	May 1993
Authors:	Anindya Banerjee (Tutor in Economics and Barnett Fellow) • Juan J. Dolado • John W. Galbraith (Assistant Professor, Department of Economics) • David Hendry (Professor of Economics)
Dimensions:	234 x 155 x 19mm (L x W x T)
Format:	Paperback
Pages:	342
Edition:	New
ISBN-13:	978-0-19-828810-7
Categories:	Books > Business & Economics > Economics > Economic theory & philosophy Books > Business & Economics > Economics > Econometrics > General Promotions
LSN:	0-19-828810-7
Barcode:	9780198288107

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