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catalog abstract "Nonstationary Time Series Analysis and Cointegration shows major developments in the econometric analysis of the long run (of nonstationarity and cointegration) - a field which has developed dramatically over the last twelve years to have a profound effect on econometric analysis in general. The papers here describe and evaluate new methods, provide useful overviews, and show detailed implementations helpful to practitioners. Papers include two substantive analyses of economic forecasting, based around an integral understanding of integration and cointegration and an evaluation of real business cycle models. There is an evaluation of different cointegration estimators and a new test for cointegration. There is a discussion of the effects of seasonality, looking at seasonal unit roots and at encompassing modelling with seasonally unadjusted versus adjusted data. A different style of nonstationarity is raised in a discussion of testing for inflationary bubbles and for time-varying transition probabilities in Hamilton's Markov switching model. This volume provides wide-ranging coverage of the literature, showing the importance of nonstationarity and cointegration.".
catalog contributor b5728490.
catalog created "1994.".
catalog date "1994".
catalog date "1994.".
catalog dateCopyrighted "1994.".
catalog description "1. Introduction -- 2. Towards a Theory of Economic Forecasting / Michael P. Clements and David F. Hendry -- 3. Bayes Models and Forecasts of Australian Macroeconomic Time Series / Peter C.B. Phillips -- 4. A Review of Methods of Estimating Cointegrating Relationships / Colin Hargreaves -- 5. A Test of the Null Hypothesis of Cointegration / David Harris and Brett Inder -- 6. Modelling Seasonal Variation / Svend Hylleberg -- 7. Cointegration, Seasonality, Encompassing, and the Demand for Money in the United Kingdom / Neil R. Ericsson, David F. Hendry and Hong-Anh Tran -- 8. Evaluating a Real Business Cycle Model / Fabio Canova, Mary Finn and Adrian R. Pagan -- 9. Misspecification versus bubbles in the Cagan hyperinflation model / Steven N. Durlauf and Mark A. Hooker -- 10. Regime Switching with Time-Varying Transition Probabilities / Francis X. Diebold, Joon-Haeng Lee and Gretchen C. Weinbach.".
catalog description "A different style of nonstationarity is raised in a discussion of testing for inflationary bubbles and for time-varying transition probabilities in Hamilton's Markov switching model. This volume provides wide-ranging coverage of the literature, showing the importance of nonstationarity and cointegration.".
catalog description "Includes bibliographical references and indexes.".
catalog description "Nonstationary Time Series Analysis and Cointegration shows major developments in the econometric analysis of the long run (of nonstationarity and cointegration) - a field which has developed dramatically over the last twelve years to have a profound effect on econometric analysis in general. The papers here describe and evaluate new methods, provide useful overviews, and show detailed implementations helpful to practitioners. Papers include two substantive analyses of economic forecasting, based around an integral understanding of integration and cointegration and an evaluation of real business cycle models. There is an evaluation of different cointegration estimators and a new test for cointegration. There is a discussion of the effects of seasonality, looking at seasonal unit roots and at encompassing modelling with seasonally unadjusted versus adjusted data.".
catalog extent "xviii, 308 p. :".
catalog identifier "0198773919 (cloth : alk. paper) :".
catalog isPartOf "Advanced texts in econometrics".
catalog issued "1994".
catalog issued "1994.".
catalog language "eng".
catalog publisher "Oxford ; New York : Oxford University Press,".
catalog subject "330/.01/5195 20".
catalog subject "Cointegration.".
catalog subject "Econometric models.".
catalog subject "Economics Statistical methods.".
catalog subject "HB141 .N66 1994".
catalog subject "Time-series analysis.".
catalog tableOfContents "1. Introduction -- 2. Towards a Theory of Economic Forecasting / Michael P. Clements and David F. Hendry -- 3. Bayes Models and Forecasts of Australian Macroeconomic Time Series / Peter C.B. Phillips -- 4. A Review of Methods of Estimating Cointegrating Relationships / Colin Hargreaves -- 5. A Test of the Null Hypothesis of Cointegration / David Harris and Brett Inder -- 6. Modelling Seasonal Variation / Svend Hylleberg -- 7. Cointegration, Seasonality, Encompassing, and the Demand for Money in the United Kingdom / Neil R. Ericsson, David F. Hendry and Hong-Anh Tran -- 8. Evaluating a Real Business Cycle Model / Fabio Canova, Mary Finn and Adrian R. Pagan -- 9. Misspecification versus bubbles in the Cagan hyperinflation model / Steven N. Durlauf and Mark A. Hooker -- 10. Regime Switching with Time-Varying Transition Probabilities / Francis X. Diebold, Joon-Haeng Lee and Gretchen C. Weinbach.".
catalog title "Nonstationary time series analysis and cointegration / edited by Colin P. Hargreaves.".
catalog type "text".