Synopses & Reviews
Co-integration, 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.
Synopsis
Co-integration, 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.
About the Author
Simon P. Burke is a Lecturer in Economics at the University of Reading.
John Hunter is Lecturer in Economics at Brunel University.
Table of Contents
Preface * Introduction: Cointegration, Economic Equilibrium and the Long Run * Univariate and Single Equation Methods * Multiple Equation Methods * Causality, Exogeneity and Identification * Further Topics in the Analysis of Non-Stationary Time Series * Conclusions: Limitations, Developments and Alternatives * Appendices * References * Index