Time Series, Unit Roots, And Cointegration

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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.

Audience: Graduate students and professional economists; statisticians and engineers.

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What People Are Saying

Marc Nerlove
Dhrymes' new book deals exclusively and rigorously with an extremely important topic in time-series econometrics. Dhrymes is terribly good at proving theorems; this unified and careful treatment will be useful for teachers, students, and practitioners of advanced econometrics. It will serve as supplementary reading in time-series courses, as a text for a very advanced special topics course, and as a standard reference in the field. If you want to cite a theorem and its proof, here it is.
Peter M. Robinson
Professor Dhyrmes has provided an excellent and detailed treatment of unit root cointegration theory, including probabilistic foundations. This book will be a very useful resource to graduate students and researchers in time series and econometrics.
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Product Details

  • ISBN-13: 9780122146954
  • Publisher: Emerald Group Publishing
  • Publication date: 12/1/1997
  • Edition description: New Edition
  • Pages: 540
  • Product dimensions: 6.00 (w) x 9.00 (h) x 1.38 (d)

Meet the Author

Professor Dhrymes is a Professor of Economics at Columbia University and a Fellow in the Econometric Society and the American Statistical Association. He is a recipient of Guggenheim, Ford Foundation, and NSF fellowships, and publishes widely on subjects in econometrics.
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Table of Contents

1 Stochastic Sequences 1
2 Prediction and Estimation 40
3 Unit Roots: I(1) Regressors 120
4 Cointegration I 173
5 Cointegration II 232
6 Cointegration III 292
7 Brownian Motion 367
8 Stochastic Integration 388
9 Central Limit Theorems; Invariance 416
Frequently Used Symbols 479
Graphs of Sequences of Various Types 481
Bibliography 504
Index 516
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