Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

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Show simple item record Dolado, Juan José Banerjee, Anindya Galbraith, John W. Hendry, David 2008-12-02T16:08:35Z 2008-12-02T16:08:35Z 1993-05
dc.identifier.isbn 978-0-19-828810-7
dc.description.abstract 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.
dc.format.mimetype text/html
dc.language.iso eng
dc.publisher Oxford University Press (Oxford)
dc.title Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
dc.type book PeerReviewed
dc.subject.eciencia Economía
dc.identifier.doi 10.1093/0198288107.001.0001
dc.rights.accessRights closedAccess
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