TY  - BOOK
AU  - Hargreaves,Colin P.
TI  - Nonstationary time series analysis and cointegration
T2  - Advanced texts in econometrics
SN  - 9780198773924 (alk. paper) :
U1  - 330.015195 23
PY  - 2003///
CY  - Oxford
PB  - Oxford University Press
KW  - Econometric models
KW  - Economics
KW  - Statistical methods
KW  - Time-series analysis
KW  - Cointegration
N1  - Includes bibliographical references and indexes; 1. Introduction --
 2. Towards a Theory of Economic Forecasting / Michael P. Clements and David F. Hendry --
 3. Bayes Models and Forecasts of Australian Macroeconomic Time Series / Peter C.B. Phillips --
 4. A Review of Methods of Estimating Cointegrating Relationships / Colin Hargreaves --
 5. A Test of the Null Hypothesis of Cointegration / David Harris and Brett Inder --
 6. Modelling Seasonal Variation / Svend Hylleberg --
 7. Cointegration, Seasonality, Encompassing, and the Demand for Money in the United Kingdom / Neil R. Ericsson, David F. Hendry and Hong-Anh Tran --
 8. Evaluating a Real Business Cycle Model / Fabio Canova, Mary Finn and Adrian R. Pagan --
 9. Misspecification versus bubbles in the Cagan hyperinflation model / Steven N. Durlauf and Mark A. Hooker --
 10. Regime Switching with Time-Varying Transition Probabilities / Francis X. Diebold, Joon-Haeng Lee and Gretchen C. Weinbach
N2  - This book shows major developments in the econometric analysis of the long run (non-stationary and cointegration) - a field which has developed dramatically over the last twelve years. The papers here describe and evaluate new methods, provide useful overviews, and show detailed implementations helpful to practitioners. Papers include Michael Clements and David Hendry's substantive analysis of economic forecasting, necessarily based around an integral understanding of integration and cointegration. The paper by Fabio Canova, Mary Finn and Adrian Pagan evaluates the real business cycles models using the new techniques. Other topics ocvered include an overview of the different estimators of cointegrating relationships, and a new test of cointegration. Applications are shown finding roots in macroeconomic series, testing the Fisher Hypoethesis, testing money demand functions, to testing for inflationary bubbles. 
This book provides a good coverage of the depth of this literature showing the importance of an understanding of non-stationarity and cointegration
ER  -