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Palgrave Macmillan

Cointegration

for the Applied Economist

  • Book
  • © 1994

Overview

Editors:
  1. B. Bhaskara Rao

    1. University of New South Wales, Kensington, Australia

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Table of contents (6 chapters)

  1. Front Matter

    Pages i-xviii
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  2. Editor’s Introduction

    • B. Bhaskara Rao
    Pages 1-8

  3. A Primer on Cointegration with an Application to Money and Income

    • David A. Dickey, Dennis W. Jansen, Daniel L. Thornton
    Pages 9-45

  4. Unit Roots and Cointegration for the Economist

    • Darryl Holden, Roger Perman
    Pages 47-112

  5. Trend, Unit Root and Structural Change in Macroeconomic Time Series

    • Pierre Perron
    Pages 113-146

  6. Wage Growth and the Inflation Process: An Empirical Approach

    • Yash P. Mehra
    Pages 147-159

  7. Diagnostic Testing: An Application to the Demand for M1

    • Glenn Otto
    Pages 161-184

  8. Back Matter

    Pages 185-231
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About this book

`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.

Editors and Affiliations

  • University of New South Wales, Kensington, Australia

    B. Bhaskara Rao

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