Research Catalog

Title

Practical issues in cointegration analysis / edited by Les Oxley and Michael McAleer.

Publication

Oxford ; Malden, Mass. : Blackwell Publishers, 1999.

Items in the Library & Off-site

Details

Additional Authors

• Oxley, Les
• McAleer, Michael

Description

274 p. : ill.; 25 cm.

Summary

"This collection is a unique resource for advanced undergraduate and postgraduate students on quantitative/econometrics courses, as well as a wider range of academic and professional economists." "The contributions consider a range of contemporary topics from the area of cointegration and unit root testing where empirical examples are used wherever possible to illustrate the issue at hand. The topics range from issues associated with seasonality and cointegration, to panel unit root tests and the econometrics of I(2) processes."--Jacket.

Subject

Cointegration

Note

• "Published simultaneously as vol. 12, no. 5 of Journal of economic surveys, December 1998"--T.p. verso.

Bibliography (note)

• Includes bibliographical references and indexes.

Processing Action (note)

• committed to retain

Contents

Cointegration in practice / Les T. Oxley and Michael J. McAleer -- A primer on unit root testing / Peter C.B. Phillips and Zhijie Xiao -- Structural analysis of cointegrating VARs / M. Hashem Pesaran and Ron P. Smith -- Shocking stories / Sofia Levtchenkova, Adrian Pagan, and John Robertson -- Inference in cointegrating models: US M1 revisited / Jurgen A. Doornik, David F. Hendry, and Bent Nielsen -- Approximations to the asymptotic distributions of cointegration tests / Jurgen A. Doornik -- An econometric analysis of I(2) variables / Niels Haldrup -- Cointegration analysis of seasonal time series / Philip-Hans Franses and Michael McAleer.

ISBN

0631211985

LCCN

^^^99019757^

OCLC

• 40777037
• SCSB-11347909

Owning Institutions

Harvard Library