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Time-Series-Based Econometrics
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Time-Series-Based Econometrics: Unit Roots and Co-integrations

Michio Hatanaka

Abstract

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.

Keywords: econometrics, unit root, error correction, co-integration, time series

Bibliographic Information

Print publication date: 1996 Print ISBN-13: 9780198773535
Published to Oxford Scholarship Online: November 2003 DOI:10.1093/0198773536.001.0001

Authors

Affiliations are at time of print publication.

Michio Hatanaka, author
Tezukayama University