Co-integration, error correction, and the econometric analysis of non-stationary data

著者

• Banerjee, Anindya
• Dolado, Juan José
• Galbraith, John W.
• Hendry, David F.

書誌事項

Co-integration, error correction, and the econometric analysis of non-stationary data

Anindya Banerjee ... [et al.]

（Advanced texts in econometrics）

Oxford University Press, 1993

• : hbk
• : pbk

タイトル別名

Co-integration, error-correction, and the econometric analysis of non-stationary data

注記

Other authors: Juan J. Dolado, John W. Galbraith, David F. Hendry

Bibliography: p. [311]-320

Includes indexes

内容説明・目次

巻冊次

: hbk ISBN 9780198287001

内容説明

This volume provides an 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 analyzing such data are of recent origin and there are few existing expositions of the literature. This book focuses on the exploitation of these relationships in dynamic econometric modelling. The concepts of co-integration and error-correction models are fundamental components of this 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 graduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.

目次

• Linear transformations, error correction and the long run in dynamic regression
• properties of integrated processes
• testing for a unit root
• co-integration
• regression with integrated variables
• testing for co-operation
• co-integration in systems of equations.

巻冊次

: pbk ISBN 9780198288107

内容説明

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.

目次

• Introduction and Overview
• Linear Transformations, Error Correction, and the Long Run in Dynamic Regression
• Properties of Integrated Processes
• Testing for the Unit Root
• Co-integration
• Regression with Integrated Variables
• Testing for Co-integration
• Co-integration in Systems of Equations
• Conclusion.

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BA2007172X
• ISBN:
  • 0198287003
  • 0198288107
• LCCN: 92027344
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: New York, N.Y. ; Oxford
• ページ数/冊数: xiii, 329 p.
• 大きさ: 24 cm
• 分類:
  • NDC9 : 331.19
  • LCC : HB141
  • DC20 : 330/.01/5195
• 件名:
  • LCSH : Econometric models
• 親書誌ID:
  • BA12388775