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Long-run economic relationships : readings in cointegration

Author: R F Engle; C W J Granger
Publisher: Oxford ; New York : Oxford University Press, 1991.
Series: Advanced texts in econometrics.
Edition/Format:   Print book : EnglishView all editions and formats
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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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: R F Engle; C W J Granger
ISBN: 0198283385 9780198283386 0198283393 9780198283393
OCLC Number: 23355881
Description: viii, 301 pages : illustrations ; 24 cm.
Contents: Variable trends in economic time series / James H. Stock and Mark W. Watson --
Econometric modelling with cointegrated variables : an overview / David F. Hendry --
Developments in the study of cointegrated economic variables / C.W.J. Granger --
Co-integration and error correction : representation, estimation, and testing / Robert F. Engle and C.W.J. Granger --
Forecasting and testing in co-integrated systems / Robert F. Engle and Byung Sam Yoo --
Statistical analysis of cointegration vectors / Søren Johansen --
Testing for common trends / James H. Stock and Mark W. Watson --
Multicointegration / C.W.J. Granger and Tae-Hwy Lee --
Cointegration and tests of present value models / John Y. Campbell and Robert J. Shiller --
Merging short- and long-run forecasts : an application of seasonal cointegration to monthly electricity sales forecasting / R.F. Engle, C.W.J. Granger, and J.J. Hallman. (Cont.) Cointegrated economic time series : an overview with new results / Robert F. Engle and B. Sam Yoo --
Critical values for cointegration tests / James G. MacKinnon --
Some recent generalizations of cointegration and the analysis of long-run relationships / Clive W.J. Granger.
Series Title: Advanced texts in econometrics.
Other Titles: Cointegration.
Responsibility: edited by R.F. Engle and C.W.J. Granger.
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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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