Practical Issues in Cointegration Analysis. Surveys of Recent Research in Economics

  • ID: 2248766
  • Book
  • 284 Pages
  • John Wiley and Sons Ltd
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Comprising of seven up–to–date comprehensive surveys from leading scholars in Econometrics, this book follows the format of the highly successful book,Surveys in Econometrics, edited by Oxley, et al. (Blackwell Publishers 1995).

This collection is a unique resource for advanced undergraduate and postgraduate students on quantitative/econometrics courses, as well as a wider range of academics and professional economists.

The contributions consider a range of contemporary topics from the area of cointegration and unit root testing where empirical examples are used wherever possible to illustrate the issue at hand. The topics range from issues associated with seasonality and cointegration, to panel unit root tests and the econometrics of I(2) processes.

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1. 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).

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Michael McAleer
Les Oxley
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