Practical Issues In Cointegration Analysis by Michael McAleerPractical Issues In Cointegration Analysis by Michael McAleer

Practical Issues In Cointegration Analysis

EditorMichael McAleer, Les Oxley

Paperback | August 3, 1999

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The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.
Title:Practical Issues In Cointegration AnalysisFormat:PaperbackDimensions:284 pages, 10 × 7.07 × 0.66 inPublished:August 3, 1999Publisher:WileyLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0631211985

ISBN - 13:9780631211983

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Table of Contents

1. Cointegration in Practice: Professor Michael J. McAleer (University of Western Australia and Adjunct Professor, Australian National University) Professor Les T. Oxley (University of Waikato).

2. A Primer on Unit Root Testing: Professor Peter C. B. Phillips (Yale University) and Professor Zhijie Xiao (University of Illinois at Urbana-Champaign).

3. Structural Analysis of Cointegrating VARs: Professor M. Hashem Pesaran (University of Cambridge) and Professor Ron P. Smith (Birkbeck College, University of London).

4. Shocking Stories: Dr. Sofia Levtchenkova (Australian National University), Professor Adrian Pagan (Australian National University), and Dr. John Robertson (Federal Reserve Bank of Atlanta).

5. Inference in Cointegrating Models: UK M1 Revisited: Dr. Jurgen A. Doornik, Professor David F. Hendry, and Dr. Bent Nielsen (all Nuffield College, Oxford).

6. An Econometric Analysis of I(2) Variables: Professor Niels Haldrup (Aarhus University).

7. Approximations to the Asymptotic Distributions of Cointegration Tests: Dr. Jurgen A. Doornik (Nuffield College, Oxford).

8. Cointegration Analysis of Seasonal Time Series: Professor Philip-Hans Franses (University of Rotterdam) and Professor Michael McAleer (University of Western Australia and Adjunct Professor, Australian National University).