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Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
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Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David Hendry

Abstract

This book considers the econometric analysis of both stationary and non‐stationary processes, which may be linked by equilibrium relationships. It provides a wide‐ranging account of the main tools, techniques, models, concepts, and distributions involved in the modelling of integrated processes (i.e. those that accumulate the effects of past shocks). Since the focus is on equilibrium concepts, including co‐integration and error‐correction, the analysis begins with a discussion of the application of these concepts to stationary empirical models. Later chapters show how integrated processes can ... More

Keywords: co‐integration, econometrics, equilibrium relationships, error correction, integration, non‐stationarity

Bibliographic Information

Print publication date: 1993 Print ISBN-13: 9780198288107
Published to Oxford Scholarship Online: November 2003 DOI:10.1093/0198288107.001.0001

Authors

Affiliations are at time of print publication.

Anindya Banerjee, author
Wadham College, Oxford
Author Webpage

Juan J. Dolado, author
Bank of Spain, Madrid

John W. Galbraith, author
McGill University
Author Webpage

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