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Practical Issues in Cointegration Analysis

Practical Issues in Cointegration Analysis

Michael McAleer (Editor), Les Oxley (Editor)

ISBN: 978-0-631-21198-3

Aug 1999, Wiley-Blackwell

284 pages

Select type: Paperback

In Stock



The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.
1. Cointegration in Practice: Professor Michael J. McAleer (University of Western Australia and Adjunct Professor, Australian National University) Professor Les T. Oxley (University of Waikato).

2. A Primer on Unit Root Testing: Professor Peter C. B. Phillips (Yale University) and Professor Zhijie Xiao (University of Illinois at Urbana-Champaign).

3. Structural Analysis of Cointegrating VARs: Professor M. Hashem Pesaran (University of Cambridge) and Professor Ron P. Smith (Birkbeck College, University of London).

4. Shocking Stories: Dr. Sofia Levtchenkova (Australian National University), Professor Adrian Pagan (Australian National University), and Dr. John Robertson (Federal Reserve Bank of Atlanta).

5. Inference in Cointegrating Models: UK M1 Revisited: Dr. Jurgen A. Doornik, Professor David F. Hendry, and Dr. Bent Nielsen (all Nuffield College, Oxford).

6. An Econometric Analysis of I(2) Variables: Professor Niels Haldrup (Aarhus University).

7. Approximations to the Asymptotic Distributions of Cointegration Tests: Dr. Jurgen A. Doornik (Nuffield College, Oxford).

8. Cointegration Analysis of Seasonal Time Series: Professor Philip-Hans Franses (University of Rotterdam) and Professor Michael McAleer (University of Western Australia and Adjunct Professor, Australian National University).

* The first book in the new series Surveys of Recent Research in Economics .
* Up-to-date comprehensive surveys from some of the leading scholars in Econometrics.
* Each survey uses empirical examples to illustrate the issue at hand.
* Specifically written to bridge the gap between textbook and specialist journal contributions.