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Co-integration, error correction, and the econometric analysis of non-stationary data

Author: Anindya Banerjee
Publisher: New York : Oxford University Press, 1993.
Series: Advanced texts in econometrics.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Considering the econometric analysis of both stationary and non-stationary processes, which may be linked by equilibrium relationships, this text provides a wide-ranging account of the main tools, techniques, models, concepts, and distributions involved in the modelling of integrated processes.
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Anindya Banerjee
ISBN: 0198287003 9780198287001 0198288107 9780198288107
OCLC Number: 57346498
Description: 1 online resource (xiii, 329 pages) : illustrations.
Contents: Introduction and Overview; Linear Transformations, Error Correction, and the Long Run in Dynamic Regression; Properties of Integrated Processes; Testing for the Unit Root; Co-integration; Regression with Integrated Variables; Testing for Co-integration; Co-integration in Systems of Equations; Conclusion.
Series Title: Advanced texts in econometrics.
Other Titles: Cointegration, error correction, and the econometric analysis of nonstationary data
Responsibility: Anindya Banerjee [and others].

Abstract:

An integrated guide and reference book to the methods used in examining long-run relationships in econometrics. This rapidly growing field in econometrics focuses on the way in which a change in one  Read more...

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