The first edition of this book has been described as a landmark book, being the first of its kind in applied econometrics. This second edition is thoroughly revised and updated and explains how to use many recent technical developments in time series econometrics. The main objective of the book is to help many applied economists, with a limited background in econometric estimation theory, to understand and apply widely used time eseries econometric techniques.

'...this book is one of the best efforts to facilitate, encourage and stimulate applied econometric work...' - Reetika Garg, Indian Economic Review, January - June 2009

Introduction; B.B.Rao
A Primer on Cointegration with an Application to Money and Income; D.A.Dickey, D.W.Jansen & D.L.Thornton
Unit Roots and Cointegration for the Economist; D.Holden & R.Perman
The Significance of Unit Roots and the Pitfalls of Mechanical Statistics; R.Smith
Unit Roots and Structural Breaks: A Survey of the Literature; J.P.Byrne & R.Perman
New Unit Root Tests Designed for the Trend-Break Stationary Alternative: Simulation Evidence and Empirical Applications; A.Sen
How to Deal with Structural Breaks in Practical Cointegration Analysis?; R.Joyeux
Panel Cointegration Analysis: An Empirical Example; N.R.V.Murthy

B. BHASKARA RAO is Professor of Economics at the University of the South Pacific, Fiji. He was educated at the London School of Economics and received his PhD from the University of New South Wales. He has published in the Economic Journal, Review of Economics and Statistics, Economics Letters, Cambridge Journal of Economics, Southern Economic Journal, and many others. His research is in macroeconomics, economics of growth and applied time series econometrics.