Co integration Error Correction and the Econometric Analysis of Non Stationary Data is popular PDF and ePub book, written by Anindya Banerjee in 1993-05-27, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Co integration Error Correction and the Econometric Analysis of Non Stationary Data can be Read Online from any device for your convenience.
Co integration Error Correction and the Econometric Analysis of Non Stationary Data Book PDF Summary
This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysing such data are of recent origin and there are few existing expositions of the literature. This book focuses on the exploration of relationships among integrated data series and the exploitation of these relationships in dynamic econometric modelling. The concepts of co-integration and error-correction models are fundamental components of the modelling strategy. This area of time-series econometrics has grown in importance over the past decade and is of interest to econometric theorists and applied econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptive and purely theoretical accounts of the literature. The asymptotic theory of integrated processes is described and the tools provided by this theory are used to develop the distributions of estimators and test statistics. Practical modelling advice, and the use of techniques for systems estimation, are also emphasized. A knowledge of econometrics, statistics, and matrix algebra at the level of a final-year undergraduate or first-year undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.
Detail Book of Co integration Error Correction and the Econometric Analysis of Non Stationary Data PDF
- Author : Anindya Banerjee
- Release : 27 May 1993
- Publisher : Oxford University Press
- ISBN : 9780191638916
- Genre : Business & Economics
- Total Page : 344 pages
- Language : English
- PDF File Size : 14,9 Mb
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