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This volume of expository essays brings recent theoretical developments on unit roots and cointegration within the reach of the average applied economist. Contributors include well-known experts David Dickey, Dennis Jansen and Daniel Thornton, Phillipe Perron, Yash Mehra, Roger Perman and Dennis Holden and Glenn Otto. Their original works, some of which are published elsewhere, are now revised, extended and made more pedagogic. Data used in these works are given for replication of the original results.
Methods of testing for unit roots, their implications and limitations, estimation of cointegrating relationships, consequences of testing the unit root null against an alternative of a one time break in trend, usefulness of these techniques in applied economic work and the significance of various diagnostic tests are all explained in a simple and easy to replicate manner.
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1
Cointegration for the Applied Economist
December 15, 1995, Palgrave Macmillan
Paperback
in English
0312158092 9780312158095
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2
Cointegration for the applied economist
1994, St. Martin's Press
in English
0312121776 9780312121778
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- Created April 30, 2008
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April 24, 2010 | Edited by Open Library Bot | Fixed duplicate goodreads IDs. |
April 16, 2010 | Edited by bgimpertBot | Added goodreads ID. |
April 14, 2010 | Edited by Open Library Bot | Linked existing covers to the edition. |
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