Non-Stationary Time Series Analysis and Cointegration

Paperback | October 1, 1994

EditorColin P. Hargreaves

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This book shows major developments in the econometric analysis of the long run (non-stationary and cointegration) - a field which has developed dramatically over the last twelve years. The papers here describe and evaluate new methods, provide useful overviews, and show detailedimplementations helpful to practitioners. Papers include Michael Clements and David Hendry's substantive analysis of economic forecasting, necessarily based around an integral understanding of integration and cointegration. The paper by Fabio Canova, Mary Finn and Adrian Pagan evaluates the realbusiness cycles models using the new techniques. Other topics ocvered include an overview of the different estimators of cointegrating relationships, and a new test of cointegration. Applications are shown finding roots in macroeconomic series, testing the Fisher Hypoethesis, testing money demandfunctions, to testing for inflationary bubbles. This book provides a good coverage of the depth of this literature showing the importance of an understanding of non-stationarity and cointegration.

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This book shows major developments in the econometric analysis of the long run (non-stationary and cointegration) - a field which has developed dramatically over the last twelve years. The papers here describe and evaluate new methods, provide useful overviews, and show detailedimplementations helpful to practitioners. Papers include...

Colin P. Hargreaves is at Economic Modelling Bureau of Australia, Canberra.

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Format:PaperbackDimensions:326 pages, 9.21 × 6.14 × 0.79 inPublished:October 1, 1994Publisher:Oxford University Press

The following ISBNs are associated with this title:

ISBN - 10:0198773927

ISBN - 13:9780198773924

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Table of Contents

1. Introduction2. Michael P. Clements and David F. Hendry: Towards a Theory of Economic Forecasting3. Peter C.B. Phillips: Bayes Models and Forecasts of Australian Macroeconomic Time Series4. Colin Hargreaves: A Review of Methods of Estimating Cointegrating Relationships5. David Harris and Brett Inder: A Test of the Null Hypothesis of Cointegration6. Svend Hylleberg: Modelling Seasonal Variation7. Neil R. Ericsson, David F. Hendry and Hong-Anh Tran: Cointegration, Seasonality, Encompassing, and the Demand for Money in the United Kingdom8. Fabio Canova, Mary Finn and Adrian R. Pagan: Evaluating a Real Business Cycle Model9. Steven N. Durlauf and Mark A. Hooker: Misspecification Versus Bubbles in the Cagan Hyperinflation Model

Editorial Reviews

`This volume covers a very comprehensive range of material, and most of the methodological content is either very recent or new, yet considerable emphasis is given to helpful practical applications of the various techniques described. As such, it ought to have considerable appeal to theoristsand practitioners alike.'Economic Journal