Description
Book SynopsisThe first book in the new series Surveys of Recent Research in Economics . Up-to-date comprehensive surveys from some of the leading scholars in Econometrics. Each survey uses empirical examples to illustrate the issue at hand. Specifically written to bridge the gap between textbook and specialist journal contributions.
Table of Contents1. Cointegration in Practice: Professor Michael J. McAleer (University of Western Australia and Adjunct Professor, Australian National University) Professor Les T. Oxley (University of Waikato).
2. A Primer on Unit Root Testing: Professor Peter C. B. Phillips (Yale University) and Professor Zhijie Xiao (University of Illinois at Urbana-Champaign).
3. Structural Analysis of Cointegrating VARs: Professor M. Hashem Pesaran (University of Cambridge) and Professor Ron P. Smith (Birkbeck College, University of London).
4. Shocking Stories: Dr. Sofia Levtchenkova (Australian National University), Professor Adrian Pagan (Australian National University), and Dr. John Robertson (Federal Reserve Bank of Atlanta).
5. Inference in Cointegrating Models: UK M1 Revisited: Dr. Jurgen A. Doornik, Professor David F. Hendry, and Dr. Bent Nielsen (all Nuffield College, Oxford).
6. An Econometric Analysis of I(2) Variables: Professor Niels Haldrup (Aarhus University).
7. Approximations to the Asymptotic Distributions of Cointegration Tests: Dr. Jurgen A. Doornik (Nuffield College, Oxford).
8. Cointegration Analysis of Seasonal Time Series: Professor Philip-Hans Franses (University of Rotterdam) and Professor Michael McAleer (University of Western Australia and Adjunct Professor, Australian National University).
