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

Fülszöveg

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 analysing such 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 and error-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 econometricans alike. By explaining the important concepts informally, but alsó presenting them formally, the book bridges the gap between purely descriptive and purely theoretical a,ccounts of the... Tovább

Fülszöveg

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 analysing such 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 and error-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 econometricans alike. By explaining the important concepts informally, but alsó presenting them formally, the book bridges the gap between purely descriptive and purely theoretical a,ccounts 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 alsó emphasized. A knowledge of econometrics, statistics, and mátrix algebra atthe level of a finalyear undergraduate or first-year graduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur. Anindya Banerjee is Tutor in Economics and Barnett Fellow, Wadham College, Oxford. Jüan Dolado is Chief Economist, Research Department, Bank of Spain. John W. Galbraith is Associate Professor of Economics, McGill University, Montreal. Dávid Hendry is Professor of Economics, Nuffield College, Oxford. ADVANCED TEXTS IN ECONOMETRICS Modelling Economic Series edited by C. W. J. Granger Continuous Time Econometric Modelling A. R. Bergstrom Long-Run Economic Relationships R. F. Engle and C. W. J. Granger Modelling Seasonality edited by S. Hylleberg Vissza