Book

Time-Series-Based Econometrics

Michio Hatanaka

Published in print January 1996 | ISBN: 9780198773535
Published online November 2003 | e-ISBN: 9780191596360 | DOI: http://dx.doi.org/10.1093/0198773536.001.0001

Series: Advanced Texts in Econometrics

Time-Series-Based Econometrics

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This book presents the most recent development in econometrics, namely the unit-root field including error correction and co-integration. It explains statistical procedures in detail, and emphasizes the results of applications. The book is divided into two parts. Part I deals with the univariate unit root, i.e. to see if a stochastic trend is present when each time series is analysed separately. Part II discusses co-integration, i.e. the empirical investigation of long-run relationships among a number of time series.

Keywords: econometrics; unit root; error correction; co-integration; time series

Book.  306 pages.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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Table of Contents

Stochastic Trend and Overview of Part I in Time-Series-Based Econometrics

Chapter

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Trend Stationarity vs. Difference Stationarity in Time-Series-Based Econometrics

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Unit‐Root Asymptotic Theories (I) in Time-Series-Based Econometrics

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Unit‐Root Asymptotic Theories (II) in Time-Series-Based Econometrics

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Results of the Model Selection Approach in Time-Series-Based Econometrics

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Bayesian Discrimination in Time-Series-Based Econometrics

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