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

Erscheinungsjahr 1993
ISBN: 978-0-19-828810-7
Verlag: OUP Oxford

Buch, Englisch, 342 Seiten, Paperback, Format (B × H): 156 mm x 234 mm, Gewicht: 524 g

Reihe: Advanced Texts in Econometrics

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 econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptive and 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.

Autoren/Hrsg.

Banerjee, Anindya

Galbraith, J. W.

Dolado, Juan J.

Dolado, Juan

Galbraith, John W.

Hendry, David

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Wirtschaftstheorie, Wirtschaftsphilosophie
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie

Inhaltsverzeichnis

Introduction and Overview; Linear Transformations, Error Correction, and the Long Run in Dynamic Regression; Properties of Integrated Processes; Testing for the Unit Root; Co-integration; Regression with Integrated Variables; Testing for Co-integration; Co-integration in Systems of Equations; Conclusion.

Über Autor(innen)

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 Lecturer in Economics at the Bank's Centre for Graduate Studies.

John W. Galbraith taught PPE and econometrics at the University of Oxford from 1984-5 and was a Research Fellow at Nuffield College and a Lecturer at Wadham College from 1986-7. He has also worked as an Economist at the Bank of Canada.

David Hendry is a Fellow of the Econometric Society and of the British Academy. He is Visiting Research Professor in Economics at Duke University and holds Special Lectureships at the University of Iowa, McMaster University, and Queen's University, Ontario. He is Governor of the National Institute for Economic and Social Research and a Consultant to National Economic Research Associates. He is joint editor of the Oxford Bulletin of Economics and Statistics and on the editorial panel of
the OUP journal, Oxford Review of Economic Policy. He was formerly a Lecturer and then a Professor at the London School of Economics and held editorial posts on the Economic Journal and Econometrica.