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Cointegration : For the Applied Economist - B. Bhaskara Rao


For the Applied Economist

By: B. Bhaskara Rao (Editor)

Paperback Published: 23rd August 1994
ISBN: 9780333616253
Number Of Pages: 231

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'This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.

Preface - The Contributors - Introduction - A Primer on Cointegration with an Application to Money and Income; D.A.Dickey, D.W.JJansen & D.L.Thornton - Unit Roots and Cointegration: An Introduction; D.Holden & R.Perman - Trend, Unit Root and Structural Change in Macroeconomic Time Series; P.Perron - Wage Growth and the Inflation Process: An Empirical Approach; Y.P.Mehra - Diagnostic Testing: An Application to the Demand for M1; G.Otto - Bibliography - Index

ISBN: 9780333616253
ISBN-10: 0333616251
Audience: General
Format: Paperback
Language: English
Number Of Pages: 231
Published: 23rd August 1994
Publisher: Palgrave Macmillan
Country of Publication: GB
Dimensions (cm): 21.59 x 13.97  x 1.45
Weight (kg): 0.32
Edition Number: 15