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This is a survey of recent developments in the field of cointegration, which links long run components of a pair or of a group of series.
It can then be used to discuss some types of equilibrium and to introduce them into time-series models in a fairly uncontroversial way.
The idea was introduced in the early 1980s and has generated much interest since then amongst econometricians and macroeconomists.
The authors discuss the basic ideas in their introduction, and the final chapters review the most recent developments in the field in a non-technical way that will enable economists with some training in modern econometrics to understand and appreciate these developments.

Long-run economic relationships - R. F. Engle

9780198283393
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Title
Long-run economic relationships - readings in cointegration
Author
R. F. Engle
format
Paperback / softback
Publisher
Oxford University Press
Language
English
UK Publication Date
19911031

This is a survey of recent developments in the field of cointegration, which links long run components of a pair or of a group of series.
It can then be used to discuss some types of equilibrium and to introduce them into time-series models in a fairly uncontroversial way.
The idea was introduced in the early 1980s and has generated much interest since then amongst econometricians and macroeconomists.
The authors discuss the basic ideas in their introduction, and the final chapters review the most recent developments in the field in a non-technical way that will enable economists with some training in modern econometrics to understand and appreciate these developments.

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`An excellent and accessible introduction to the subject of cointegration.'
Simon Price, Essex University

'Together these papers should serve to bring the reader up to speed on the conceptual approaches to cointegration, provide a nice foundation for those who'll dig deeper into the theoretical structure, and give the applied reader at least a few examples of well-executed applications. This book could serve equally well as an introduction to cointegration for graduate students and for econometric practitioners and other professional economists interested in keeping
up with developments in this exciting area.'
Dennis W. Jansen, Texas A&M University, The Southern Economic Journal, Jan. 1993

Type
BOOK
Keyword Index
Econometrics.|Time-series analysis.|Econometric models.|Cointegration.
Country of Publication
England
Number of Pages
301

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