Users without a subscription are not able to see the full content.
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 |
