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

by Anindya Banerjee

Book Overview

This book is wide-ranging in its account of literature on cointegration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behavior are common in economics, although techniques appropriate to analyzing such data are relatively new, with few existing expositions of the literature. This book explores relationships among integrated data series and their use in dynamic econometric...

• Format: Paperback
• Language: English
• ISBN: 0198288107
• ISBN13: 9780198288107
• Release Date: September 1993
• Publisher: Clarendon Press
• Length: 342 Pages
• Weight: 1.30 lbs.
• Dimensions: 0.7" x 6.1" x 9.2"