Time Series, Unit Roots, and Cointegration

Erscheinungsjahr 1997
ISBN: 978-0-12-214695-4
Verlag: Academic Press Inc

Buch, Englisch, 524 Seiten, Format (B × H): 157 mm x 235 mm, Gewicht: 924 g

This book addresses the need for a high-level analysis of unit roots and cointegration. Time Series, Unit Roots, and Cointegration integrates the theory of stationary sequences and issues arising in the estimation of their parameters, distributed lags, spectral density function, and cointegration. The book also includes topics that are important for understanding recent developments in the estimation and testing of cointegrated nonstationary sequences, such as Brownian motion, stochastic integration, and central limit theorems.

Key - Explores an important topic in time-series econometrics
- Addresses the need for a high-level analysis of unit roots and cointegration
- Written by an excellent expositor

Autoren/Hrsg.

Dhrymes, Phoebus J.

Dhrymes, Phoebus

Fachgebiete

• Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Datenanalyse, Datenverarbeitung
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik

Inhaltsverzeichnis

Stochastic Sequences.
Prediction and Estimation.
Unit Roots; I(1) Regressors.
Cointegration I.
Cointegration II.
Cointegration III.
Brownian Motion.
Stochastic Integration.
Central Limit Theorems; Invariance.
Frequently Used Symbols.
Graphs of Sequences of Various Types.
Bibliography.
Index.

Über Autor(innen)

Professor Dhrymes is a Professor of Economics at Columbia University and a Fellow in the Econometric Society and the American Statistical Association. He is a recipient of Guggenheim, Ford Foundation, and NSF fellowships, and publishes widely on subjects in econometrics.