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Time-series-based econometrics : unit roots and co-integrations / Michio Hatanaka.

By: Material type: TextTextSeries: Advanced texts in econometricsPublication details: Oxford : Oxford University Press, 2003.Description: xii, 294 p. : ill. ; 24 cmISBN:
  • 9780198773535
Subject(s): DDC classification:
  • 330.015195 23 H361
Contents:
pt. I. Unit-Root Tests in Univariate Analysis. 1. Stochastic Trend and Overview of Part I. 2. Trend Stationarity vs. Difference Stationarity. 3. Discrimination in Terms of the Long-Run Component: A Test for Trend Stationarity. 4. Unit-Root Asymptotic Theories (I). 5. Regression Approach to the Test for Difference Stationarity (I). 6. Unit-Root Asymptotic Theories (II). 7. Regression Approach to the Test for Difference Stationarity (II). 8. Viewing the Discrimination as a Model Selection Problem Including Deterministic Trends. 9. Results of the Model Selection Approach. 10. Bayesian Discrimination -- pt. II. Co-Integration Analysis in Econometrics. 11. Different Modelling Strategies on Multiple Relationships. 12. Conceptual Framework of the Co-Integration and its Relation to Economic Theories. 13. Asymptotic Inference Theories on Co-Integrated Regressions. 14. Inference on Dynamic Econometric Models. 15. Maximum-Likelihood Inference Theory of Co-Integrated VAR -- Appendices.
Summary: There have been rapid and enormous developments in the field of unit roots and cointegration, but this progress has taken divergent directions, and has been subjected to criticism from outside the field. This book responds to those criticisms providing a guide for the selection of appropriate inference methods to study macroeconomic relations.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 330.015195 H361 (Browse shelf(Opens below)) Available 137318
Total holds: 0

Includes bibliographical references and indexes.

pt. I. Unit-Root Tests in Univariate Analysis.
1. Stochastic Trend and Overview of Part I.
2. Trend Stationarity vs. Difference Stationarity.
3. Discrimination in Terms of the Long-Run Component: A Test for Trend Stationarity.
4. Unit-Root Asymptotic Theories (I).
5. Regression Approach to the Test for Difference Stationarity (I).
6. Unit-Root Asymptotic Theories (II).
7. Regression Approach to the Test for Difference Stationarity (II).
8. Viewing the Discrimination as a Model Selection Problem Including Deterministic Trends.
9. Results of the Model Selection Approach.
10. Bayesian Discrimination --
pt. II. Co-Integration Analysis in Econometrics.
11. Different Modelling Strategies on Multiple Relationships.
12. Conceptual Framework of the Co-Integration and its Relation to Economic Theories.
13. Asymptotic Inference Theories on Co-Integrated Regressions.
14. Inference on Dynamic Econometric Models.
15. Maximum-Likelihood Inference Theory of Co-Integrated VAR --
Appendices.

There have been rapid and enormous developments in the field of unit roots and cointegration, but this progress has taken divergent directions, and has been subjected to criticism from outside the field. This book responds to those criticisms providing a guide for the selection of appropriate inference methods to study macroeconomic relations.

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