Cointegration For The Applied Economist / Edition 1

Cointegration For The Applied Economist / Edition 1

by B. Bhaskara Rao
     
 

This volume of expository essays brings recent theoretical developments on unit roots and cointegration within the reach of the average applied economist. Contributors include well-known experts David Dickey, Dennis Jansen and Daniel Thornton, Phillipe Perron, Yash Mehra, Roger Perman and Dennis Holden and Glenn Otto. Their original works, some of which are

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Overview

This volume of expository essays brings recent theoretical developments on unit roots and cointegration within the reach of the average applied economist. Contributors include well-known experts David Dickey, Dennis Jansen and Daniel Thornton, Phillipe Perron, Yash Mehra, Roger Perman and Dennis Holden and Glenn Otto. Their original works, some of which are published elsewhere, are now revised, extended and made more pedagogic. Data used in these works are given for replication of the original results. Methods of testing for unit roots, their implications and limitations, estimation of cointegrating relationships, consequences of testing the unit root null against an alternative of a one time break in trend, usefulness of these techniques in applied economic work and the significance of various diagnostic tests are all explained in a simple and easy to replicate manner.

Product Details

ISBN-13:
9780312158095
Publisher:
Palgrave Macmillan
Publication date:
12/15/1995
Edition description:
REV
Pages:
252
Product dimensions:
5.42(w) x 8.48(h) x 0.66(d)

Table of Contents

List of Tables
List of Figures
Preface
Notes on the Contributors
1Editor's Introduction
2A Primer on Cointegration with an Application to Money and Income
3Unit Roots and Cointegration for the Economist
4Trend, Unit Root and Structural Change in Macroeconomic Time Series
5Wage Growth and the Inflation Process: An Empirical Approach
6Diagnostic Testing: An Application to the Demand for M1
Data Appendix
Bibliography
Index

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