Long-run economic relationships : readings in cointegration
著者
書誌事項
Long-run economic relationships : readings in cointegration
（Advanced texts in econometrics）
Oxford University Press, c1991
- :
- : pbk
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注記
Includes bibliographical references and indexes
内容説明・目次
- 巻冊次
-
: ISBN 9780198283386
内容説明
This is a survey of recent developments in the field of cointegration, which links long run components of a pair or of a group of series. It can then be used to discuss some types of equilibrium and to introduce them into time-series models in a fairly uncontroversial way. The idea was introduced in the early 1980s and has generated much interest since then amongst econometricians and macroeconomists. The authors discuss the basic ideas in their introduction and the final chapters review the most recent developments in the field in a non-technical way that will enable economists with some training in modern econometrics to understand and appreciate these developments.
目次
- Variable trends in economic time series, James Stock & Mark Watson
- econometric modelling with cointegrated variables - an overview, David Hendry
- developments in the study of cointegrated economic variables, Clive Granger
- cointegration and error-correction - representation, estimation, and testing, Robert Engle and Clive Granger
- forecasting and testing in cointegrated systems, Robert Engle and Sam Yoo
- statistical analysis of cointegration vectors, Soren Johansen
- testing for common trends, James Stock and Mark Watson
- multi cointegration, Clive Granger and Tae-Hwy Lee
- cointegration and tests of present value models, John Campbell and Robert J.Shiller
- merging short-and long-run forecases, Robert Engle, et al
- cointegrated economic time series - an overview with new results, Robert Engle and Sam Yoo
- critical values for cointegration tests, James MacKinnon
- some recent generalizations of cointegration and the analysis of long-run relationships, Clive Granger.
- 巻冊次
-
: pbk ISBN 9780198283393
内容説明
This is a survey of recent developments in the field of cointegration, which links long run components of a pair or of a group of series. It can then be used to discuss some types of equilibrium and to introduce them into time-series models in a fairly uncontroversial way. The idea was introduced in the early 1980s and has generated much interest since then amongst econometricians and macroeconomists.
The authors discuss the basic ideas in their introduction, and the final chapters review the most recent developments in the field in a non-technical way that will enable economists with some training in modern econometrics to understand and appreciate these developments.
目次
- Variable trends in economic time series, James Stock & Mark Watson
- econometric modelling with cointegrated variables - an overview, David Hendry
- developments in the study of cointegrated economic variables, Clive Granger
- cointegration and error-correction - representation, estimation, and testing, Robert Engle and Clive Granger
- forecasting and testing in cointegrated systems, Robert Engle and Sam Yoo
- statistical analysis of cointegration vectors, Soren Johansen
- testing for common trends, James Stock and Mark Watson
- multi cointegration, Clive Granger and Tae-Hwy Lee
- cointegration and tests of present value models, John Campbell and Robert J.Shiller
- merging short-and long-run forecases, Robert Engle, et al
- cointegrated economic time series - an overview with new results, Robert Engle and Sam Yoo
- critical values for cointegration tests, James MacKinnon
- some recent generalizations of cointegration and the analysis of long-run relationships, Clive Granger.
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