Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data by Anindya Banerjee

Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

byAnindya Banerjee, Juan J. Dolado, John W. Galbraith

Paperback | November 1, 1990

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This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysingsuch data are of recent origin and there are few existing expositions of the literature. This book focuses on the exploration of relationships among integrated data series and the exploitation of these relationships in dynamic econometric modelling. The concepts of co-integration anderror-correction models are fundamental components of the modelling strategy. This area of time-series econometrics has grown in importance over the past decade and is of interest to econometric theorists and applied econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptiveand purely theoretical accounts of the literature. The asymptotic theory of integrated processes is described and the tools provided by this theory are used to develop the distributions of estimators and test statistics. Practical modelling advice, and the use of techniques for systems estimation,are also emphasized. A knowledge of econometrics, statistics, and matrix algebra at the level of a final-year undergraduate or first-year undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.

About The Author

Anindya Banerjee was gained his doctorate at Nuffield College, Oxford and then became Junior Research Fellow at Jesus College. Juan Dolado was Lecturer in Economics in the University of Oxford from 1986-7 and gained his doctorate at Nuffield College. He has held a number of posts at the Bank of Spain, including Senior Economist and Le...

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Title:Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary DataFormat:PaperbackDimensions:342 pages, 9.21 × 6.14 × 0.75 inPublished:November 1, 1990Publisher:Oxford University Press

The following ISBNs are associated with this title:

ISBN - 10:0198288107

ISBN - 13:9780198288107

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`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