Time Series, Unit Roots, and Cointegration

Time Series, Unit Roots, and Cointegration

by Phoebus Dhrymes
     
 

ISBN-10: 0122146956

ISBN-13: 9780122146954

Pub. Date: 12/01/1997

Publisher: Emerald Group Publishing

Time Series, Unit Roots, and Cointegration addresses the need for a high-level analysis of unit roots and cointegration. It 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…  See more details below

Overview

Time Series, Unit Roots, and Cointegration addresses the need for a high-level analysis of unit roots and cointegration. It 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.

Product Details

ISBN-13:
9780122146954
Publisher:
Emerald Group Publishing
Publication date:
12/01/1997
Edition description:
New Edition
Pages:
540
Product dimensions:
6.00(w) x 9.00(h) x 1.38(d)

Table of Contents

Preface
1Stochastic Sequences1
2Prediction and Estimation40
3Unit Roots: I(1) Regressors120
4Cointegration I173
5Cointegration II232
6Cointegration III292
7Brownian Motion367
8Stochastic Integration388
9Central Limit Theorems; Invariance416
Frequently Used Symbols479
Graphs of Sequences of Various Types481
Bibliography504
Index516

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