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## Details

Document Type: | Book |
---|---|

All Authors / Contributors: |
Anindya Banerjee |

ISBN: | 0198287003 9780198287001 0198288107 9780198288107 |

OCLC Number: | 26305706 |

Description: | xiii, 329 pages : illustrations ; 24 cm. |

Contents: | Introduction and Overview --- Equilibrium relationships and the long run --- Stationarity and equilibrium relationships --- Equilibrium and the specification of dynamic models --- Estimation of long-run relationships and testing for orders of integration and co-integration --- Preliminary concepts and definitions --- Data representation and transformations --- Examples: typical ARMA processes --- Empirical time series: money, prices, output, and interest rates --- Outline of later chapters --- Appendix --- Linear Transformations, Error Correction, and the Long Run in Dynamic Regression --- Transformations of a simple model --- The error-correction model --- Bardsen and Bewley transformations --- Equivalence of estimates from different transformations --- Homogeneity and the ECM as a linear transformation of the ADL --- Variances of estimates of long-run multipliers --- Expectational variables and the interpretation of long-run solutions --- Properties of Integrated Processes --- Spurious regression --- Trends and random walks --- Some statistical features of integrated processes --- Asymptotic theory for integrated processes --- Using Wiener distribution theory --- Near-integrated processes --- Testing for a Unit Root --- Similar tests and exogenous regressors in the DGP --- General dynamic models for the process of interest --- Non-parametric tests for a unit root --- Tests on more than one parameter --- Further extensions --- Asymptotic distributions of test statistics --- Co-integration --- Polynomial matrices --- Integration and co-integration: formal definitions and theorems --- Significance of alternative representations --- Alternative representations of co-integrated variables: two examples --- Engle-Granger two-step procedure --- Regression with Integrated Variables --- Unbalanced regressions and orthogonality tests --- Dynamic regressions --- Functional forms and transformations --- Appendix: Vector Brownian Motion --- Co-integration in Individual Equations --- Estimating a single co-integrating vector --- Tests for co-integration in a single equation --- Response surfaces for critical rabies --- Finite-sample biases in OLS estimates --- Powers of single-equation co-integration tests --- An empirical illustration --- Fully modified estimation --- A fully modified least-squares estimator --- Dynamic specification --- Appendix: Covariance Matrices --- Co-integration in Systems of Equations --- Co-integration and error correction --- Estimating co-integrating vectors in systems --- Inference about the co-integration space --- An empirical illustration --- A second example of the Johansen maximum likelihood approach --- Asymptotic distributions of estimators of co-integrating vectors in I(1) systems --- Conclusion. |

Series Title: | Advanced texts in econometrics. |

Responsibility: | Anindya Banerjee [and others]. |

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## Reviews

*Editorial reviews*

Publisher Synopsis

'Very complete and exhaustive ... up-to-date presentation and theories ... clear examples and useful statistical tables.' Mr Tavera, Faculte de Sciences Economiques 'Fills a gap in the market - a readable text which provides a comprehensive coverage of recent research in this very important area.' Dr C.O. Alexander, University of Sussex A very readable survey of many of the important contributions to this theoretical literature ... it is clear that unit roots, cointegration, and Wiener process theory are going to play an important role in the continuing debate. This book provides a valuable resource for all researchers interested in these topics. Economic Journal This landmark in the history of econometrics is recommended to those who are more than superficially interested in the subject, including all those teaching the subject ... there is no competitor for this book. De Economist Read more...

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