Long-Run Economic Relationships
Readings in Cointegration
Published on 31. October 1991
Book
Paperback/Softback
308 pages
978-0-19-828339-3 (ISBN)
Description
This is a survey of recent developments in the field of cointegration, which links long run components of a pair or of a group of series. It can then be used to discuss some types of equilibrium and to introduce them into time-series models in a fairly uncontroversial way. The idea was introduced in the early 1980s and has generated much interest since then amongst econometricians and macroeconomists.
The authors discuss the basic ideas in their introduction, and the final chapters review the most recent developments in the field in a non-technical way that will enable economists with some training in modern econometrics to understand and appreciate these developments.
The authors discuss the basic ideas in their introduction, and the final chapters review the most recent developments in the field in a non-technical way that will enable economists with some training in modern econometrics to understand and appreciate these developments.
Reviews / Votes
`An excellent and accessible introduction to the subject of cointegration.'Simon Price, Essex University 'Together these papers should serve to bring the reader up to speed on the conceptual approaches to cointegration, provide a nice foundation for those who'll dig deeper into the theoretical structure, and give the applied reader at least a few examples of well-executed applications. This book could serve equally well as an introduction to cointegration for graduate students and for econometric practitioners and other professional economists interested in keeping up with developments in this exciting area.'
Dennis W. Jansen, Texas A&M University, The Southern Economic Journal, Jan. 1993
More details
Series
Language
English
Place of publication
Oxford
United Kingdom
Target group
Professional and scholarly
Illustrations
11 line drawings, 27 tables
Dimensions
Height: 229 mm
Width: 152 mm
Thickness: 18 mm
Weight
509 gr
ISBN-13
978-0-19-828339-3 (9780198283393)
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Schweitzer Classification
Persons
Content
Variable trends in economic time series, James Stock & Mark Watson; econometric modelling with cointegrated variables - an overview, David Hendry; developments in the study of cointegrated economic variables, Clive Granger; cointegration and error-correction - representation, estimation, and testing, Robert Engle and Clive Granger; forecasting and testing in cointegrated systems, Robert Engle and Sam Yoo; statistical analysis of cointegration vectors, Soren Johansen; testing for common trends, James Stock and Mark Watson; multi cointegration, Clive Granger and Tae-Hwy Lee; cointegration and tests of present value models, John Campbell and Robert J.Shiller; merging short-and long-run forecases, Robert Engle, et al; cointegrated economic time series - an overview with new results, Robert Engle and Sam Yoo; critical values for cointegration tests, James MacKinnon; some recent generalizations of cointegration and the analysis of long-run relationships, Clive Granger.