Cointegration : for the applied economist

著者

書誌事項

Cointegration : for the applied economist

edited by B. Bhaskara Rao

St. Martin's Press , Macmillan, 1994

  • : hard
  • : pbk
  • : U.S

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注記

Bibliography: p. [214]-224

Includes index

内容説明・目次

巻冊次

: hard ISBN 9780333595695

内容説明

Designed for applied economists with a modest econometric background, this volume of expository essays explains in a simple style various tests for the existence of unit roots and how to estimate co-integration relationships. Original data is given to enable easy replications.

目次

  • A primer on cointegration with an application to money and income, David A. Dickey et al
  • unit roots and cointegration - an introduction, Darryl Holden and Roger Perman
  • trend, unit root and structural change in macroeconomic time series, Pierre Perron
  • wage growth and the inflation process - an empirical approach, Yash P. Mehra
  • diagnostic testing - an application to the demand for M1, Glenn Otto.
巻冊次

: pbk ISBN 9780333616253

内容説明

`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.

目次

  • Preface - The Contributors - Introduction - A Primer on Cointegration with an Application to Money and Income
  • D.A.Dickey, D.W.JJansen & D.L.Thornton - Unit Roots and Cointegration: An Introduction
  • D.Holden & R.Perman - Trend, Unit Root and Structural Change in Macroeconomic Time Series
  • P.Perron - Wage Growth and the Inflation Process: An Empirical Approach
  • Y.P.Mehra - Diagnostic Testing: An Application to the Demand for M1
  • G.Otto - Bibliography - Index

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