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Time Series, Unit Roots, and Cointegration cover
  • ISBN: 9780122146954
  • ISBN10: 0122146956

Time Series, Unit Roots, and Cointegration

by Phoebus Dhrymes

  • Binding: Hardcover
  • Publisher: Academic Pr
  • Publish date: 11/01/1997
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This book addresses the need for a high-level analysis of unit roots and cointegration. Time Series, Unit Roots, and Cointegration integrates the theory of stationary sequences and issues arising in the estimation of their parameters, distributed lags, spectral density function, and cointegration. The book also includes topics that are important for understanding recent developments in the estimation and testing of cointegrated nonstationary sequences, such as Brownian motion, stochastic integration, and central limit theorems.
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