0
Your cart

Your cart is empty

Books > Business & Economics > Economics > Econometrics

Buy Now

Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (Paperback, New) Loot Price: R2,096
Discovery Miles 20 960
Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (Paperback, New): Anindya Banerjee, Juan...

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

Anindya Banerjee, Juan J. Dolado, John W. Galbraith, David Hendry

Series: Advanced Texts in Econometrics

 (sign in to rate)
Loot Price R2,096 Discovery Miles 20 960 | Repayment Terms: R196 pm x 12*

Bookmark and Share

Expected to ship within 10 - 15 working days

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: July 2003
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

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!

You might also like..

The South African Informal Sector…
Frederick Fourie Paperback R116 R108 Discovery Miles 1 080
Essential Mathematics for Economics and…
T. Bradley Paperback R1,685 Discovery Miles 16 850
Basic mathematics for economics students…
Derek Yu Paperback R383 Discovery Miles 3 830
Introductory Econometrics - A Modern…
Jeffrey Wooldridge Hardcover R1,314 R1,229 Discovery Miles 12 290
Operations and Supply Chain Management
James Evans, David Collier Hardcover R1,343 R1,254 Discovery Miles 12 540
Operations And Supply Chain Management
David Collier, James Evans Hardcover R1,366 R1,273 Discovery Miles 12 730
E.Europe Russia & C Asia 2001
Europa Publications Hardcover R10,268 Discovery Miles 102 680
Statistics for Business and Economics…
Paul Newbold, William Carlson, … Paperback R2,479 Discovery Miles 24 790
Panel Data Econometrics
Manuel Arellano Hardcover R4,564 Discovery Miles 45 640
Tax Policy and Uncertainty - Modelling…
Christopher Ball, John Creedy, … Hardcover R2,683 Discovery Miles 26 830
Advanced Introduction to Spatial…
Daniel A. Griffith, Bin Li Paperback R662 Discovery Miles 6 620
Basic mathematics for economics students…
D. Yu Paperback R383 Discovery Miles 3 830

See more

Partners