The DOI matches its Crossref record; 101 of the 101 references it cites were found in a registry or an index.
Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
Abstract
This book considers the econometric analysis of both stationary and non‐stationary processes, which may be linked by equilibrium relationships. It provides a wide‐ranging account of the main tools, techniques, models, concepts, and distributions involved in the modelling of integrated processes (i.e. those that accumulate the effects of past shocks). Since the focus is on equilibrium concepts, including co‐integration and error‐correction, the analysis begins with a discussion of the application of these concepts to stationary empirical models. Later chapters show how integrated processes can be reduced to this case by suitable transformations that take advantage of co‐integrating (equilibrium) relationships. The concepts of co‐integration and error‐correction models are shown to be fundamental in this modelling strategy. Practical modelling advice and empirical illustrations are provided. Knowledge of econometrics, statistics, and matrix algebra at the level of a final‐year undergraduate or first‐year graduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they arise.
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Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
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Testing for a unit root in time series regression
PHILLIPS, P. C. B., & PERRON, P. (1988) · Biometrika · doi:10.1093/biomet/75.2.335 · Cited by 19,155
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
Filders, R. (1992) · International Journal of Forecasting · doi:10.1016/0169-2070(92)90130-2 · Cited by 16,165
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
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Johansen, S., & Juselius, K. (1990) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.1990.mp52002003.x · Cited by 14,051
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Johansen, S. (1991) · Econometrica · doi:10.2307/2938278 · Cited by 11,116
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Dickey, D. A., & Fuller, W. A. (1979) · Journal of the American Statistical Association · doi:10.2307/2286348 · Cited by 9,106
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Does financial development cause economic growth? Time-series evidence from 16 countries
Demetriades, P. O., & Hussein, K. A. (1996) · Journal of Development Economics · doi:10.1016/s0304-3878(96)00421-x · Cited by 1,539
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Metadata
- Authors
- Banerjee, A., Dolado, J. J., Galbraith, J. W., & Hendry, D.
- Publisher
- Oxford University PressOxford
- Published
- 1993-05-27
- OpenAlex
- W1572767052
- Cited by
- 1,752
- References
- 101
- FWCI
- 162.51
- Type
- book
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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