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Time Series, Unit Roots, and Cointegration


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Product Details
Format:
Hardback
ISBN:
9780122146954
Published:
02 Dec 1997
Publisher:
Emerald Group Publishing Limited
Dimensions:
524 pages - 152 x 229 x 35mm

Categories:

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.
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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