| List of Tables | p. x |
| List of Figures and Screens | p. xiii |
| Preface to the First Edition | p. xiv |
| Preface to the Second Edition | p. xvi |
| Notes on Contributors | p. xviii |
| Introduction | p. 1 |
| Introduction | p. 1 |
| Unit roots and cointegration | p. 1 |
| Economic implications | p. 3 |
| An overview of the papers | p. 5 |
| Concluding observations | p. 8 |
| A Primer on Cointegration with an Application to Money and Income | p. 10 |
| Introduction | p. 10 |
| Testing for cointegration: a general framework | p. 10 |
| Locating stationary linear combination of variables | p. 12 |
| Multiple cointegrating vectors | p. 13 |
| Tests for cointegration and their relation to unit root tests | p. 15 |
| Is there an economic interpretation of cointegration vectors? | p. 16 |
| Cointegration with exogenous variables | p. 16 |
| Should there be many or few cointegrating vectors? | p. 20 |
| Alternative tests for cointegration | p. 21 |
| A note about distributions | p. 22 |
| Other approaches to cointegration | p. 23 |
| An application of cointegration: the demand for money | p. 24 |
| The velocity of M1 and M2 | p. 25 |
| The velocity of the monetary base | p. 28 |
| Empirical results | p. 28 |
| Tests for the order of integration | p. 29 |
| Tests for cointegration using three methodologies | p. 29 |
| Cointegration using alternative monetary aggregates | p. 32 |
| Cointegration and the monetary base | p. 34 |
| Summary and conclusions | p. 35 |
| Appendix to Chapter 2 | p. 36 |
| Unit Roots and Cointegration for the Economist | p. 43 |
| Introduction | p. 43 |
| Stationarity and unit roots | p. 45 |
| Stationary time series | p. 45 |
| The first order autoregressive process: AR(1) | p. 45 |
| Second order autoregressive case: AR(2) | p. 50 |
| Testing for unit roots | p. 51 |
| The Dickey-Fuller tests | p. 51 |
| The Augmented Dickey-Fuller regression | p. 55 |
| A suggested sequential procedure for unit root testing | p. 56 |
| Phillips and Perron tests | p. 59 |
| Unit root tests and structural breaks | p. 61 |
| Trend and difference stationarity | p. 63 |
| The error correction mechanism (ECM) | p. 64 |
| Cointegration | p. 66 |
| The cointegrating regression | p. 70 |
| Testing for cointegration | p. 71 |
| Estimating the ECM | p. 72 |
| Johansen procedure | p. 74 |
| Cointegration and econometric modelling | p. 80 |
| Concluding comments | p. 83 |
| Appendix to Chapter 3 | p. 84 |
| The Significance of Unit Roots and the Pitfalls of Mechanical Statistics | p. 101 |
| Introduction | p. 101 |
| Mechanical statistics | p. 103 |
| Applied econometrics | p. 104 |
| Significance | p. 107 |
| Unit roots | p. 109 |
| VARs, error correction and cointegration | p. 115 |
| Weak exogeneity | p. 122 |
| Identification | p. 124 |
| Conclusions | p. 127 |
| Unit Roots and Structural Breaks: A Survey of the Literature | p. 129 |
| Introduction | p. 129 |
| Unit roots and ADF tests | p. 130 |
| Exogenous structural breaks | p. 131 |
| Endogenous structural breaks | p. 132 |
| Non-linear breaks and GLS detrending | p. 134 |
| Multiple structural breaks | p. 135 |
| Two structural breaks | p. 136 |
| Multiple breaks | p. 136 |
| Unit roots and structural breaks: applied papers | p. 137 |
| Other issues | p. 138 |
| Conclusion | p. 139 |
| Software | p. 141 |
| New Unit Root Tests Designed for the Trend-Break Stationary Alternative: Simulation Evidence and Empirical Applications | p. 143 |
| Introduction | p. 143 |
| Model and test statistics | p. 145 |
| Finite sample size and power | p. 159 |
| Empirical applications | p. 188 |
| Extended Nelson-Plosser data set | p. 188 |
| Real per capita GDP for 18 OECD countries | p. 191 |
| Conclusions | p. 192 |
| p. 192 |
| p. 193 |
| How to Deal with Structural Breaks in Practical Cointegration Analysis? | p. 195 |
| Introduction | p. 195 |
| Univariate case | p. 196 |
| Shift in intercept model | p. 196 |
| Shift in mean and trend model | p. 198 |
| Generalization to an AR(k) process | p. 199 |
| Generalization to the case of more than one shift | p. 199 |
| Multivariate case | p. 200 |
| Shift in intercept model: none of the p time series have a deterministic trend | p. 202 |
| Some or all of the time series follow a trending pattern | p. 203 |
| Some or all of the time series follow a trending pattern in each sub-sample and the cointegrating relations are stationary in each sub-sample (with possibly a broken constant level); trend breaks are allowed only in the non-stationary series | p. 203 |
| Unit root tests | p. 203 |
| Empirical illustration: A German money-demand system | p. 203 |
| Description | p. 203 |
| The analysis | p. 205 |
| Conclusion | p. 213 |
| Appendix to Chapter 7 | p. 213 |
| Specification of the model: deterministic components and exogenous variables | p. 215 |
| Cointegration tests | p. 215 |
| Empirical illustration: a German money-demand system | p. 216 |
| Other important matters | p. 221 |
| Panel Cointegration Analysis: An Empirical Example | p. 222 |
| Introduction | p. 222 |
| Model specification, data and cointegration analysis | p. 224 |
| Empirical results | p. 228 |
| Conclusions | p. 233 |
| Appendix to Chapter 8 | p. 233 |
| References | p. 245 |
| Index | p. 257 |
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