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Practical Issues in Cointegration Analysis
Michael McAleer (Edited by), McAleer (Author), Les Oxley (Edited by)
9780631211983, Wiley
Paperback / softback, published 16 May 1999
284 pages
25.4 x 18 x 1.7 cm, 0.68 kg
The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.
1. Cointegration in Practice: Professor Michael J. McAleer (University of Western Australia and Adjunct Professor, Australian National University) Professor Les T. Oxley (University of Waikato). 2. A Primer on Unit Root Testing: Professor Peter C. B. Phillips (Yale University) and Professor Zhijie Xiao (University of Illinois at Urbana-Champaign). 3. Structural Analysis of Cointegrating VARs: Professor M. Hashem Pesaran (University of Cambridge) and Professor Ron P. Smith (Birkbeck College, University of London). 4. Shocking Stories: Dr. Sofia Levtchenkova (Australian National University), Professor Adrian Pagan (Australian National University), and Dr. John Robertson (Federal Reserve Bank of Atlanta). 5. Inference in Cointegrating Models: UK M1 Revisited: Dr. Jurgen A. Doornik, Professor David F. Hendry, and Dr. Bent Nielsen (all Nuffield College, Oxford). 6. An Econometric Analysis of I(2) Variables: Professor Niels Haldrup (Aarhus University). 7. Approximations to the Asymptotic Distributions of Cointegration Tests: Dr. Jurgen A. Doornik (Nuffield College, Oxford). 8. Cointegration Analysis of Seasonal Time Series: Professor Philip-Hans Franses (University of Rotterdam) and Professor Michael McAleer (University of Western Australia and Adjunct Professor, Australian National University).
Subject Areas: Economics [KC]
