Cointegration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems. This book provides direction and guidance to the now vast literature facing students and graduate economists. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural breaks associated with regime changes and what to do when variables are of different orders of integration.

PART 1: INTRODUCTION: COINTEGRATION, ECONOMIC EQUILIBRIUM AND THE LONG RUN
PART 2: UNIVARIATE AND SINGLE EQUATION METHODS
Introduction
Non-Stationarity
Univariate Statistical Time Series Models and Non-Stationarity
Testing for Non-Stationarity in Single Series
Conclusion
PART 3: RELATIONSHIPS BETWEEN NON-STATIONARITY TIME SERIES
Introduction
Equilibrium and Equilibrium Correction
Cointegration and Equilibrium
Regression Amongst Cointegrated Variables
Conclusion
PART 4: MULTIVARIATE TIME SERIES APPROACH TO COINTEGRATION
Introduction
The VMA, the VAR and the VECM
VAR - Based Tests of Cointegration
The Smith-McMillan-Yoo Form
Johansen's VAR Representation of Cointegration
Johansen's Approach to Testing for Cointegration in Systems
Tests of Cointegration in VAR Models
Alternative Representations
PART 5: EXOGENEITY AND IDENTIFICATION
An Introduction to Exogeneity
Identification
Exogeneity and Identification
Empirical Examples
Conclusion
PART 6: FURTHER TOPICS IN THE ANALYSIS OF NON-STATIONARY TIME SERIES
Introduction
Inference and Estimation When Series Are Not I(1)
Forecasting in Cointegrated Systems
Models with Short-Run Dynamics Induced by Expectations
Conclusion
PART 7: CONCLUSION
Approximation
Alternative Methods
Structural Breaks
Last Comments
Notes
Appendices
References
Index

SIMON P. BURKE is a Lecturer in Economics at the University of Reading, UK. His research interests include Time Series Econometrics and Computational Econometrics.

JOHN HUNTER is Lecturer in Economics at Brunel University, UK. His research interests include Multivariate Time Series, Exogeneity, Econometric Identification and Simulation, Classification, Specification and Testing of Discrete Data using Neural Networks, Semi-Parametric and Parametric Methods.