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Time Series, Unit Roots, and Cointegration
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Artikel-Nr:
9780122146954
Veröffentl:
1997
Einband:
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Erscheinungsdatum:
01.12.1997
Seiten:
540
Autor:
Phoebus J. Dhrymes
Gewicht:
926 g
Format:
235x157x33 mm
Sprache:
Englisch
Beschreibung:
Professor Dhrymes is a Professor of Economics at Columbia University and a Fellow in the Econometric Society and the American Statistical Association. He is a recipient of Guggenheim, Ford Foundation, and NSF fellowships, and publishes widely on subjects in econometrics.
Addresses the need for a high-level analysis of unit roots and cointegration. This work integrates the theory of stationary sequences and issues arising in the estimation of their parameters, distributed lags, spectral density function, and cointegration.
Stochastic Sequences. Prediction and Estimation. Unit Roots; I(1) Regressors. Cointegration I. Cointegration II. Cointegration III. Brownian Motion. Stochastic Integration. Central Limit Theorems; Invariance. Frequently Used Symbols. Graphs of Sequences of Various Types. Bibliography. Index.