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Time Series, Unit Roots, and Cointegration - Phoebus J. Dhrymes

Time Series, Unit Roots, and Cointegration

Hardcover

Published: 1st December 1997
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This book addresses the need for a high-level analysis of unit roots and cointegration. Time Series, Unit Roots, and Cointegration integrates the theory of stationary sequences and issues arising in the estimation of their parameters, distributed lags, spectral density function, and cointegration. The book also includes topics that are important for understanding recent developments in the estimation and testing of cointegrated nonstationary sequences, such as Brownian motion, stochastic integration, and central limit theorems.
Key Features
* Explores an important topic in time-series econometrics
* Addresses the need for a high-level analysis of unit roots and cointegration
* Written by an excellent expositor

"Dhrymes' new book deals exclusively and rigorously with an extremely important topic in time-series econometrics. Dhrymes is terribly good at proving theorems; this unified and careful treatment will be useful for teachers, students, and practitioners of advanced econometrics. It will serve as supplementary reading in time-series courses, as a text for a very advanced special topics course, and as a standard reference in the field. If you want to cite a theorem and its proof, here it is." --MARC NERLOVE, Department of Agricultural and Resource Economics, University of Maryland, College Park

Stochastic Sequences
Prediction and Estimation
Unit Roots
I(1) Regressors
Cointegration I
Cointegration II
Cointegration III
Brownian Motion
Stochastic Integration
Central Limit Theorems
Invariance
Frequently Used Symbols
Graphs of Sequences of Various Types
Bibliography
Index
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780122146954
ISBN-10: 0122146956
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 524
Published: 1st December 1997
Publisher: Emerald Publishing Limited
Country of Publication: GB
Dimensions (cm): 22.9 x 15.2  x 3.5
Weight (kg): 0.96