Practical Issues in Cointegration Analysis

Herausgeber: Mcaleer, Michael; Oxley, Les

• Broschiertes Buch

Produktbeschreibung

Comprising of seven up-to-date comprehensive surveys from leading scholars in Econometrics, this book follows the format of the highly successful book, Surveys in Econometrics, edited by Oxley, et al. (Blackwell Publishers 1995). This collection is a unique resource for advanced undergraduate and postgraduate students on quantitative/econometrics courses, as well as a wider range of academics and professional economists. The contributions consider a range of contemporary topics from the area of cointegration and unit root testing where empirical examples are used wherever possible to illustrate the issue at hand. The topics range from issues associated with seasonality and cointegration, to panel unit root tests and the econometrics of I(2) processes.

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Produktdetails

• Verlag: Wiley
• Seitenzahl: 284
• Erscheinungstermin: 3. August 1999
• Englisch
• Abmessung: 254mm x 178mm x 15mm
• Gewicht: 540g
• ISBN-13: 9780631211983
• ISBN-10: 0631211985
• Artikelnr.: 21169218

Autorenporträt

Michael McAleer and Les Oxley are the authors of Practical Issues in Cointegration Analysis, published by Wiley.

Inhaltsangabe

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).