Practical Issues in Cointegration Analysis
1st Edition
Published on 16. May 1999
Book
Paperback/Softback
284 pages
978-0-631-21198-3 (ISBN)
Description
The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.
More details
Series
Language
English
Place of publication
Hoboken
United Kingdom
Publishing group
John Wiley and Sons Ltd
Target group
College/higher education
Professional and scholarly
Product notice
Paperback (trade)
Unsewn / adhesive bound
Dimensions
Height: 254 mm
Width: 178 mm
Thickness: 15 mm
Weight
540 gr
ISBN-13
978-0-631-21198-3 (9780631211983)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Persons
Michael McAleer and Les Oxley are the authors of Practical Issues in Cointegration Analysis, published by Wiley.
Content
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).
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).