Time Series, Unit Roots, and Cointegration
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Time Series, Unit Roots, and Cointegration

 9:B&W 6 x 9 in or 229 x 152 mm Case Laminate on Creme w/Gloss Lam
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ISBN-13:
9780122146954
Einband:
9:B&W 6 x 9 in or 229 x 152 mm Case Laminate on Creme w/Gloss Lam
Erscheinungsdatum:
01.12.1997
Seiten:
540
Autor:
Phoebus Dhrymes
Gewicht:
839 g
Format:
236x158x29 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.
This book addresses the need for a high-level analysis of unit roots and cointegration. "Time Series, Unit Roots, and Cointegration" integrates the theory of stationary sequences and issues arising in the estimation of their parameters, distributed lags, spectral density function, and cointegration. The book also includes topics that are important for understanding recent developments in the estimation and testing of cointegrated nonstationary sequences, such as Brownian motion, stochastic integration, and central limit theorems. It explores an important topic in time-series econometrics. It addresses the need for a high-level analysis of unit roots and cointegration. It is written by an excellent expositor.
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.

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