Long-run economic relationships : Readings in cointegration /
This is a survey of recent developments in the field of cointegration, which links long run components of a pair or of a group of series. The authors present ideas in a non-technical way which will enable economists with training in econometrics to understand and appreciate current research.
محفوظ في:
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| الوثيقة: | كتاب |
| اللغة: | English |
| منشور في: |
New York :
Oxford University press ;
c1991.
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| الطبعة: | 1st. ed. |
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إضافة وسم
لا توجد وسوم, كن أول من يضع وسما على هذه التسجيلة!
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جدول المحتويات:
- Variable trends in economic time series, James Stock & Mark Watson; econometric modelling with cointegrated variables - an overview, David Hendry; developments in the study of cointegrated economic variables, Clive Granger; cointegration and error-correction - representation, estimation, and testing, Robert Engle and Clive Granger; forecasting and testing in cointegrated systems, Robert Engle and Sam Yoo; statistical analysis of cointegration vectors, Soren Johansen; testing for common trends, James Stock and Mark Watson; multi cointegration, Clive Granger and Tae-Hwy Lee; cointegration and tests of present value models, John Campbell and Robert J.Shiller; merging short-and long-run forecases, Robert Engle, et al; cointegrated economic time series - an overview with new results, Robert Engle and Sam Yoo; critical values for cointegration tests, James MacKinnon; some recent generalizations of cointegration and the analysis of long-run relationships, Clive Granger.