Buch, Englisch, 306 Seiten, Paperback, Format (B × H): 156 mm x 234 mm, Gewicht: 471 g
Buch, Englisch, 306 Seiten, Paperback, Format (B × H): 156 mm x 234 mm, Gewicht: 471 g
Reihe: Advanced Texts in Econometrics
ISBN: 978-0-19-877353-5
Verlag: OUP Oxford
these methods to macroeconomic studies.
The most vigorous criticism has been that unit roots to do not exist in macroeconomic variables, and thus that cointegration analysis is irrelevant to macroeconomics. The judgement of this book is that unit roots are present in macroeconomic variables when we consider periods of 20 to 40 years, but that the critics may be right when periods of 100 years are considered. Fortunately, most of the time series data used for macroeconomic studies cover fall within the shorter time span.
Among the numerous methods for unit roots and cointegration, those useful from macroeconomic studies are examined and explained in detail, without overburdening the reader with unnecessary mathematics. Other, less applicable methods are dicussed briefly, and their weaknesses are exposed. Hatanaka has rigourously based his judgements about usefulness on whether the inference is appropriate for the length of the data sets available, and also on whether a proper inference can be made on the sort
of propositions that macroeconomists wish to test.
This book highlights the relations between cointegration and economic theories, and presents cointegrated regression as a revolution in econometric methods. Its analysis is of relevance to academic and professional or applied econometricians. Step-by-step explanations of concepts and techniques make the book a self-contained text for graduate students.