The Cointegrated Var Model: Methodology and Applications more books like this

by Katarina Juselius

This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric ...

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Unit Roots, Cointegration and Structural Change more books like this

by G S Maddala, In-Moo Kim

Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration. Maddala and Kim present a comprehensive review of these important developments and examine structural change. The volume provides an analysis of unit root tests, problems with unit root testing, estimation of cointegration systems, ...

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Cointegration for the Applied Economist more books like this

by Bhaskara B Rao (Editor)

The second edition of the landmark book on unit roots and cointegration techniques updated with new developments.

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New Directions in Econometric Practice: General to Specific Modelling, Cointegration and Vector Autogressions more books like this

by Wojciech W Charemza, Derek F Deadman

This book presents intuitive accounts of conceptually difficult ideas making the most recent advances in econometrics accessible to advanced undergraduate and graduate students. It reflects the major changes in econometric methodology which have occurred in the 1980s, following the emergence of the "general-to-specific" approach associated with ...

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Workbook on Cointegration 'Advanceed Texts in Economics ' more books like this

by Peter Reinhard Hansen, Soren Johansen

This workbook is a companion to the textbook Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, also published by Oxford University Press. The workbook contains exercises and solutions concerned with the theory of cointegration in the vector autoregressive model. The main text has been used for courses on Cointegration, and ...

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Cointegration Analysis in a German Monetary System more books like this

by Kirstin Hubrich

With the decision of the European Central Bank to assign a prominent role to a monetary aggregate in its policy strategy, it is essential to further understand the policy of monetary targeting of the German Bundesbank and the conditions under which it succeeded. The focus of the empirical analysis is on long-run monetary relationships. A small ...

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Workbook on Cointegration more books like this

by Peter Reinhard Hansen, Soren Johansen

This workbook is a companion to the textbook Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, also published by Oxford University Press. The workbook contains exercises and solutions concerned with the theory of cointegration in the vector autoregressive model. The main text has been used for courses on Cointegration, and ...

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Time Series, Unit Roots, and Cointegration more books like this

by Phoebus Dhrymes

This book addresses the need for a high-level analysis of unit roots and cointegration. "Time Series, Unit Roots, and Cointegration" integrates the theory of stationary sequences and issues arising in the estimation of their parameters, distributed lags, spectral density function, and cointegration. The book also includes topics that are important ...

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Practical Issues in Cointegration Analysis more books like this

by Leslie Oxley (Preface by), Michael McAleer (Preface by)

Comprising of seven up-to-date comprehensive surveys from leading scholars in Econometrics, this book follows the format of the highly successful book, Surveys in Econometrics, edited by Oxley, et al. (Blackwell Publishers 1995). This collection is a unique resource for advanced undergraduate and postgraduate students on quantitative/econometrics ...

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The Monetary Model of Exchange Rates and Cointegration more books like this

by Javier Gardeazabal

These notes draw from the Theory of Cointegration in orderto test the monetary model of exchange rate determination. Previous evidence shows that the monetary model does notcapture the short run dynamics of the exchange rate, specially when assessed in terms of forecasting accuracy. Even though the monetary equations of exchange ratedetermination ...

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Using Cointegration Analysis in Econometric Modelling more books like this

by Richard Harris

The book introduces co-integration techniques at a very moderate technical level; testing for (co-) integration is explained thoroughly with plenty of examples which emphasise how the tests are actually performed

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Nonstationary Time Series Analysis & Cointeg more books like this

by Colin Hargreaves (Editor)

Major developments in the analysis of non-stationary time series and cointegration are described in this study. 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 ...

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