Using Cointegration Analysis in Econometric Modelling
Richard I. D. Harris, "Using Cointegration Analysis in Econometric Modelling"
Prentice Hall | 1995 | ISBN: 0133558924 | 192 pages | PDF | 8,2 MB
Prentice Hall | 1995 | ISBN: 0133558924 | 192 pages | PDF | 8,2 MB
The book introduces co-intergration techniques at a very moderate technical level; its aim is a pratical one; testing for (co)integration is explained throughly with plenty of examples which emphasize how the tests are actually performed. Uses a "Toolkit" approach with an emphasis on practice and the actual tests used. Discusses Engel-Granger procedures. Boxes explaining more advanced results, proofs and theorems. Covers the Johansen technique. An overview of structual VAR modelling. Examples from relevant software: PCFiml, CATS (in RATS), PCGive, SPSS, etc. Supllements intermediate and advanced courses in econometrics and/or time series modelling. The subject has entered the core in these areas but is not readily available in textbooks except at a very high level. Prerequisites: Statistics for Economists, Introduction to Econometrics.
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