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The second edition of this widely acclaimed text presents a
thoroughly up-to-date intuitive account of recent developments in
econometrics. It continues to present the frontiers of research in
an accessible form for non-specialist econometricians, advanced
undergraduates and graduate students wishing to carry out applied
econometric research. This new edition contains substantially
revised chapters on cointegration and vector autoregressive (VAR)
modelling, reflecting the developments that have been made in these
important areas since the first edition. Special attention is given
to the Dickey-Pantula approach and the testing for the order of
integration of a variable in the presence of a structural break.
For VAR models, impulse response analysis is explained and
illustrated. There is also a detailed but intuitive explanation of
the Johansen method, an increasingly popular technique. The text
contains specially constructed and original tables of critical
values for a wide range of tests for stationarity and
cointegration. These tables are for Dickey-Fuller tests,
Dickey-Hasza-Fuller and HEGY seasonal integration tests and the
Perron 'additive outlier' integration test.
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