Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

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ID: 291569
1993
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Abstract
Abstract This book considers the econometric analysis of both stationary and non‐stationary processes, which may be linked by equilibrium relationships. It provides a wide‐ranging account of the main tools, techniques, models, concepts, and distributions involved in the modelling of integrated processes (i.e. those that accumulate the effects of past shocks). Since the focus is on equilibrium concepts, including co‐integration and error‐correction, the analysis begins with a discussion of the application of these concepts to stationary empirical models. Later chapters show how integrated processes can be reduced to this case by suitable transformations that take advantage of co‐integrating (equilibrium) relationships. The concepts of co‐integration and error‐correction models are shown to be fundamental in this modelling strategy. Practical modelling advice and empirical illustrations are provided. Knowledge of econometrics, statistics, and matrix algebra at the level of a final‐year undergraduate or first‐year graduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they arise.
Reference Key
openalex_W1572767052 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Anindya Banerjee, Juan J. Dolado, John W. Galbraith, David F. Hendry
Journal Oxford University Press eBooks
Year 1993
DOI
10.1093/0198288107.001.0001
URL
https://doi.org/10.1093/0198288107.001.0001
Keywords Keywords not found

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