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Using Cointegration Analysis in Econometric Modelling

by Harris, Richard

  • ISBN: 9780133558920
  • ISBN10: 0133558924

Using Cointegration Analysis in Econometric Modelling

by Harris, Richard

  • List Price: $32.00
  • Binding: Paperback
  • Publisher: Prentice Hall
  • Publish date: 12/01/2003
  • ISBN: 9780133558920
  • ISBN10: 0133558924
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Description: Cointegration has become an essential tool for applied economists wanting to estimate time series models. Without some form of testing for cointegration, non-stationary variables can lead to spurious regressions; this book introduces the student and practitioner to (co)integration testing and techniques at a very moderate technical level. The book's aim is a practical one: testing for (co)integration is explained thoroughly and with plenty of examples and there is an emphasis throughout on explaining how these tests are actually performed. Key Features: 'toolkit' approach with an emphasis on practice and the actual tests used, covers the Engle-Granger procedure, covers the Johansen technique, overview of structural VAR modelling, advanced and difficult concepts presented in technical boxes, thus preserving the flow of exposition, and boxed examples throughout. Though the material is presented non-technically, the reader will find that the book covers in detail those techniques that are now becoming standard in the literature. Readers are also taken through examples using relevant software such as PcFiml and Cats (in Rats).
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