TY - BOOK AU - Hatanaka,Michio TI - Time-series-based econometrics: unit roots and co-integrations T2 - Advanced texts in econometrics SN - 9780198773535 U1 - 330.015195 23 PY - 2003/// CY - Oxford PB - Oxford University Press KW - Econometrics KW - Time-series analysis N1 - 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 N2 - 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. ER -