Time series, unit roots, and cointegration
著者
書誌事項
Time series, unit roots, and cointegration
Academic Press, c1998
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注記
Bibliography: p. 504-515
Includes index
内容説明・目次
内容説明
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 for understanding recent developments in the estimation and testing of cointegrated nonstationary sequences, such as Brownian motion, stochastic integration, and central limit theorems. It explores an important topic in time-series econometrics. It addresses the need for a high-level analysis of unit roots and cointegration. It is written by an excellent expositor.
目次
- Stochastic Sequences. Prediction and Estimation. Unit Roots
- I(1) Regressors. Cointegration I. Cointegration II. Cointegration III. Brownian Motion. Stochastic Integration. Central Limit Theorems
- Invariance. Frequently Used Symbols. Graphs of Sequences of Various Types. Bibliography. Index.
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