This book presents the most recent development in econometrics, namely the unit-root field including error correction and co-integration. It explains statistical procedures in detail, and emphasizes the results of applications. The book is divided into two parts. Part I deals with the univariate unit root, i.e. to see if a stochastic trend is present when each time series is analysed separately. Part II discusses co-integration, i.e. the empirical investigation of long-run relationships among a number of time series.
|Print publication date: 1996||Print ISBN-13: 9780198773535|
|Published to Oxford Scholarship Online: November 2003||DOI:10.1093/0198773536.001.0001|