Practical issues in cointegration analysis
Author(s)
Bibliographic Information
Practical issues in cointegration analysis
Blackwell Publishers, 1999
Available at / 35 libraries
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Research Institute for Economics & Business Administration (RIEB) Library , Kobe University図書
330.18-491081000093933
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Note
"Published simultaneously as vol. 12, no. 5 of Journal of economic surveys, December 1998"--T.p. verso
Includes bibliographical references and indexes
Description and Table of Contents
Description
The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.
Table of Contents
1. Cointegration in Practice: Professor Michael J. McAleer (University of Western Australia and Adjunct Professor, Australian National University) Professor Les T. Oxley (University of Waikato). 2. A Primer on Unit Root Testing: Professor Peter C. B. Phillips (Yale University) and Professor Zhijie Xiao (University of Illinois at Urbana-Champaign).
3. Structural Analysis of Cointegrating VARs: Professor M. Hashem Pesaran (University of Cambridge) and Professor Ron P. Smith (Birkbeck College, University of London).
4. Shocking Stories: Dr. Sofia Levtchenkova (Australian National University), Professor Adrian Pagan (Australian National University), and Dr. John Robertson (Federal Reserve Bank of Atlanta).
5. Inference in Cointegrating Models: UK M1 Revisited: Dr. Jurgen A. Doornik, Professor David F. Hendry, and Dr. Bent Nielsen (all Nuffield College, Oxford).
6. An Econometric Analysis of I(2) Variables: Professor Niels Haldrup (Aarhus University).
7. Approximations to the Asymptotic Distributions of Cointegration Tests: Dr. Jurgen A. Doornik (Nuffield College, Oxford).
8. Cointegration Analysis of Seasonal Time Series: Professor Philip-Hans Franses (University of Rotterdam) and Professor Michael McAleer (University of Western Australia and Adjunct Professor, Australian National University).
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