Time-Series-Based Econometrics Unit Roots and Co-Integrations

Name: Time-Series-Based Econometrics Unit Roots and Co-Integrations
Price: 12.11 USD
Availability: InStock
ISBN: 9780198773535

ISBN-10: 0198773536

ISBN-13: 9780198773535

Edition: 1996

Authors: Michio Hatanaka

List price: $110.00

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Book details

List price: $110.00
Copyright year: 1996
Publisher: Oxford University Press, Incorporated
Publication date: 4/11/1996
Binding: Paperback
Pages: 306
Size: 6.14" wide x 9.21" long x 0.67" tall
Weight: 1.144
Language: English



Preface



Unit-Root Tests in Univariate Analysis



Stochastic Trend and Overview of Part I



Trend Stationarity Vs. Difference Stationarity



Discrimination in Terms of the Long-Run Component: A Test for Trend Stationarity



Unit-Root Asymptotic Theories (i)



Regression Approach to the Test for Difference Stationarity (i)



Unit-Root Asymptotic Theories (ii)



Regression Approach to the Test for Difference Stationarity (ii)



Viewing the Discrimination as a Model Selection Problem Including Deterministic Trends



Results of the Model Selection Approach



Bayesian Discrimination



Co-Integration Analysis in Econometrics


Overview



Different Modelling Strategies on Multiple Relationships



Conceptual Framework of the Co-Integration and Its Relation to Economic Theories



Asymptotic Inference Theories on Co-Integrated Regressions



Inference on Dynamic Econometric Models



Maximum-Likelihood Inference Theory of Co-Integrated Var


Appendix Spectral Analysis



Ols Estimator of Difference-Stationary Autoregressive Process



Mathematics for the Var, Vma, and Varma



Fully Modified Least-Squares Estimator


References


Subject Index


Author Index