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612-822-4611
Nonstationary Time Series Analysis and Cointegration

Nonstationary Time Series Analysis and Cointegration

Paperback

Series: Advanced Texts in Econometrics

Economics

ISBN10: 0198773927
ISBN13: 9780198773924
Publisher: OUP Oxford
Published: Dec 1 1994
Pages: 328
Weight: 1.10
Height: 0.79 Width: 6.15 Depth: 9.15
Language: English
This collection of papers explores the major developments in the analysis of non-stationary time series and cointegration. It provides comprehensive coverage of the depth of the current research and demonstrates the importance of an understanding of non-stationarity and cointegration. Papers cover David Hendry's work on forecasting, Peter Phillips' work on Bayesian models, Svend Hylleberg's work on seasonality, and Adrian Pagan's work on real business cycle models. Also included is an overview of the different estimators of cointegrating relationships and a new test of cointegration.

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