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.
| ISBN: | 9780122146954 |
| Publication date: | 2nd December 1997 |
| Author: | Phoebus J Dhrymes |
| Publisher: | Academic Press an imprint of Emerald Group Publishing Limited |
| Format: | Hardback |
| Pagination: | 524 pages |
| Genres: |
Econometrics and economic statistics |
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.
Time Series, Unit Roots, and Cointegration features in the following genres: Econometrics and economic statistics
Time Series, Unit Roots, and Cointegration is available in Hardback
Time Series, Unit Roots, and Cointegration was written by Phoebus J Dhrymes and published by Academic Press an imprint of Emerald Group Publishing Limited
Time Series, Unit Roots, and Cointegration has 524 pages