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Long run economic relationships : readings in cointegration

Author: Robert F Engle
Publisher: Oxford : Oxford Univ. Press, 1991.
Series: Advanced texts in econometrics
Edition/Format:   Print bookView all editions and formats
Database:WorldCat
Summary:

This is a survey of recent developments in the field of cointegration, which links long run components of a pair or of a group of series. The authors present ideas in a non-technical way which will  Read more...

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Genre/Form: Aufsatzsammlung
Document Type: Book
All Authors / Contributors: Robert F Engle
ISBN: 0198283393 9780198283393 0198283385 9780198283386
OCLC Number: 214320564
Notes: Literaturangaben.
Description: VII, 301 S. : graph. Darst.
Contents: Variable trends in economic time series, James Stock & Mark Watson; econometric modelling with cointegrated variables - an overview, David Hendry; developments in the study of cointegrated economic variables, Clive Granger; cointegration and error-correction - representation, estimation, and testing, Robert Engle and Clive Granger; forecasting and testing in cointegrated systems, Robert Engle and Sam Yoo; statistical analysis of cointegration vectors, Soren Johansen; testing for common trends, James Stock and Mark Watson; multi cointegration, Clive Granger and Tae-Hwy Lee; cointegration and tests of present value models, John Campbell and Robert J.Shiller; merging short-and long-run forecases, Robert Engle, et al; cointegrated economic time series - an overview with new results, Robert Engle and Sam Yoo; critical values for cointegration tests, James MacKinnon; some recent generalizations of cointegration and the analysis of long-run relationships, Clive Granger.
Series Title: Advanced texts in econometrics
Responsibility: R.F. Engle ...

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'Together these papers should serve to bring the reader up to speed on the conceptual approaches to cointegration, provide a nice foundation for those who'll dig deeper into the theoretical Read more...

 
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