Chapter

Introduction and Overview

Anindya Banerjee, Juan J. Dolado, John W. Galbraith and David F. Hendry

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

Published in print May 1993 | ISBN: 9780198288107
Published online November 2003 | e-ISBN: 9780191595899 | DOI: http://dx.doi.org/10.1093/0198288107.003.0001

Series: Advanced Texts in Econometrics

 Introduction and Overview

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Serves as an introductory overview for the rest of the book, and outlines its main aims. As a basis for the following chapters, an overview and clarification of equilibrium relationships in economic theory is presented. A preliminary discussion of testing for orders of integration and the estimation of long‐run relationships is provided. The chapter summarizes key concepts from time‐series analysis and the theory of stochastic processes and, in particular, the theory of Brownian motion processes. Several empirical examples are offered as illustration of these concepts.

Keywords: ARMA processes; Brownian motion; equilibrium relationships; exogeneity; long‐run relationships; orders of integration; stochastic processes; time‐series analysis; Wiener processes Monte Carlo simulation

Chapter.  17170 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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