Practical Issues in Cointegration Analysis / Edition 1

by Michael McAleer, Les Oxley

Overview

The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.

Product Details

ISBN-13:	9780631211983
Publisher:	Wiley
Publication date:	08/03/1999
Series:	Surveys of Recent Research in Economics
Pages:	284
Product dimensions:	7.00(w) x 9.90(h) x 0.70(d)

About the Author

Michael McAleer and Les Oxley are the authors of Practical Issues in Cointegration Analysis, published by Wiley.

Table of Contents

1. Cointegration in Practice: Professor Michael J. McAleer (University of Western Australia and Adjunct Professor, Australian National University) Professor Les T. Oxley (University of Waikato).

2. A Primer on Unit Root Testing: Professor Peter C. B. Phillips (Yale University) and Professor Zhijie Xiao (University of Illinois at Urbana-Champaign).

3. Structural Analysis of Cointegrating VARs: Professor M. Hashem Pesaran (University of Cambridge) and Professor Ron P. Smith (Birkbeck College, University of London).

4. Shocking Stories: Dr. Sofia Levtchenkova (Australian National University), Professor Adrian Pagan (Australian National University), and Dr. John Robertson (Federal Reserve Bank of Atlanta).

5. Inference in Cointegrating Models: UK M1 Revisited: Dr. Jurgen A. Doornik, Professor David F. Hendry, and Dr. Bent Nielsen (all Nuffield College, Oxford).

6. An Econometric Analysis of I(2) Variables: Professor Niels Haldrup (Aarhus University).

7. Approximations to the Asymptotic Distributions of Cointegration Tests: Dr. Jurgen A. Doornik (Nuffield College, Oxford).

8. Cointegration Analysis of Seasonal Time Series: Professor Philip-Hans Franses (University of Rotterdam) and Professor Michael McAleer (University of Western Australia and Adjunct Professor, Australian National University).