Long-Run Economic Relationships: Readings in Cointegration

by R. F. Engle, C. W. J. Granger

Overview

In this interesting survey of recent developments in the field of cointegration, the authors discuss how cointegration (the linking of long run components of a pair or of a group or series), can be used to discuss some types of equilibrium and to introduce those equilibria into time-series models in a fairly uncontroversial way. The authors discuss the basic ideas in their introduction and the final chapters review the most recent developments in the field in a non-technical manner.

About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

Product Details

ISBN-13:	9780198283393
Publisher:	Oxford University Press
Publication date:	11/12/1992
Series:	Advanced Texts in Econometrics
Edition description:	New Edition
Pages:	308
Product dimensions:	6.00(w) x 9.00(h) x 0.80(d)

About the Author

University of California, San Diego

Table of Contents

1.	Introduction	1
2.	Variable Trends in Economic Time Series	17
3.	Econometric Modelling with Cointegrated Variables: An Overview	51
4.	Developments in the Study of Cointegrated Economic Variables	65
5.	Cointegration and Error Correction: Representation, Estimation, and Testing	81
6.	Forecasting and Testing in Co-integrated Systems	113
7.	Statistical Analysis of Cointegration Vectors	131
8.	Testing for Common Trends	153
9.	Multicointegration	179
10.	Cointegration and Tests of Present Value Models	191
11.	Merging Short- and Long-Run Forecasts	219
12.	Cointegrated Economic Time Series: An Overview with New Results	237
13.	Critical Values for Cointegration Tests	267
14.	Some Recent Generalizations of Cointegration and the Analysis of Long-Run Relationships	277
	Index of Subjects	289
	Index of Names	299

Editorial Reviews

"Together these papers should serve to bring the reader up to speed on the conceptual approaches to cointegration, provide a nice foundation for those who'll dig deeper into the theoretical structure, and give the applied reader at least a few examples of well-executed applications. This book could serve equally well as an introduction to cointegration for graduate students and for econometric practitioners and other professional economists interested in keeping up with developments in this exciting area."—The Southern Economic Journal

"A most delightful book. Most topics of current interest related to cointegration are discussed in this book."—Sunil Sapra, California State University

"This is an awaited collection for both graduate students and researchers who are interested in civilization."—Yin-Wong Cheung, University of California, Santa Cruz

From the Publisher