| Description |
viii, 301 pages : illustrations ; 24 cm |
| Series |
Advanced texts in econometrics |
|
Advanced texts in econometrics.
|
| Contents |
(Cont.) Cointegrated economic time series : an overview with new results / Robert F. Engle and B. Sam Yoo -- Critical values for cointegration tests / James G. MacKinnon -- Some recent generalizations of cointegration and the analysis of long-run relationships / Clive W.J. Granger |
|
Variable trends in economic time series / James H. Stock and Mark W. Watson -- Econometric modelling with cointegrated variables : an overview / David F. Hendry -- Developments in the study of cointegrated economic variables / C.W.J. Granger -- Co-integration and error correction : representation, estimation, and testing / Robert F. Engle and C.W.J. Granger -- Forecasting and testing in co-integrated systems / Robert F. Engle and Byung Sam Yoo -- Statistical analysis of cointegration vectors / Søren Johansen -- Testing for common trends / James H. Stock and Mark W. Watson -- Multicointegration / C.W.J. Granger and Tae-Hwy Lee -- Cointegration and tests of present value models / John Y. Campbell and Robert J. Shiller -- Merging short- and long-run forecasts : an application of seasonal cointegration to monthly electricity sales forecasting / R.F. Engle, C.W.J. Granger, and J.J. Hallman |
| Analysis |
Econometrics |
|
Econometrics |
| Bibliography |
Includes bibliographical references and indexes |
| Subject |
Cointegration.
|
|
Econometric models.
|
|
Econometrics.
|
|
Time-series analysis.
|
| Author |
Engle, R. F. (Robert F.)
|
|
Granger, C. W. J. (Clive William John), 1934-2009.
|
| LC no. |
91010092 |
| ISBN |
0198283385 |
|
0198283393 (paperback) |
|
