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- Title Pages
- Preface
- List of Figures
- 1 Stochastic Trend and Overview of Part I
- 2 Trend Stationarity vs. Difference Stationarity
- 3 Discrimination in Terms of the Long‐Run Component: A Test for Trend Stationarity
- 4 Unit‐Root Asymptotic Theories (I)
- 5 Regression Approach to the Test for Difference Stationarity (I)
- 6 Unit‐Root Asymptotic Theories (II)
- 7 Regression Approach to the Test for Difference Stationarity (II)
- 8 Viewing the Discrimination as a Model Selection Problem Including Deterministic Trends
- 9 Results of the Model Selection Approach
- 10 Bayesian Discrimination
- Part II Co‐Integration Analysis in Econometrics
- 11 Different Modelling Strategies on Multiple Relationships
- 12 Conceptual Framework of the Co‐Integration and Its Relation to Economic Theories
- 13 Asymptotic Inference Theories on Co‐Integrated Regressions<sup>*</sup>
- 14 Inference on Dynamic Econometric Models
- 15 Maximum‐Likelihood Inference Theory of Co‐Integrated VAR
- Appendix 1 Spectral Analysis
- Appendix 2 Wiener (Brownian Motion) Process
- Appendix 3 Asymptotic Theories Involving a Linear Deterministic Trend
- Appendix 4 OLS Estimator of Difference‐Stationary Autoregressive Process
- Appendix 5 Mathematics for the VAR, VMA, and VARMA
- Appendix 6 Fully Modified Least‐Squares Estimator
- References
- Subject Index
- Author Index
(p.269) References
(p.269) References
- Source:
- Time-Series-Based Econometrics
- Publisher:
- Oxford University Press
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- Title Pages
- Preface
- List of Figures
- 1 Stochastic Trend and Overview of Part I
- 2 Trend Stationarity vs. Difference Stationarity
- 3 Discrimination in Terms of the Long‐Run Component: A Test for Trend Stationarity
- 4 Unit‐Root Asymptotic Theories (I)
- 5 Regression Approach to the Test for Difference Stationarity (I)
- 6 Unit‐Root Asymptotic Theories (II)
- 7 Regression Approach to the Test for Difference Stationarity (II)
- 8 Viewing the Discrimination as a Model Selection Problem Including Deterministic Trends
- 9 Results of the Model Selection Approach
- 10 Bayesian Discrimination
- Part II Co‐Integration Analysis in Econometrics
- 11 Different Modelling Strategies on Multiple Relationships
- 12 Conceptual Framework of the Co‐Integration and Its Relation to Economic Theories
- 13 Asymptotic Inference Theories on Co‐Integrated Regressions<sup>*</sup>
- 14 Inference on Dynamic Econometric Models
- 15 Maximum‐Likelihood Inference Theory of Co‐Integrated VAR
- Appendix 1 Spectral Analysis
- Appendix 2 Wiener (Brownian Motion) Process
- Appendix 3 Asymptotic Theories Involving a Linear Deterministic Trend
- Appendix 4 OLS Estimator of Difference‐Stationary Autoregressive Process
- Appendix 5 Mathematics for the VAR, VMA, and VARMA
- Appendix 6 Fully Modified Least‐Squares Estimator
- References
- Subject Index
- Author Index
