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Cointegration for the Applied Economist B. Bhaskara Rao

Cointegration for the Applied Economist

B. Bhaskara Rao

Published December 15th 1995
ISBN : 9780312158095
Paperback
230 pages
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 About the Book 

This volume of expository essays brings recent theoretical developments on unit roots and cointegration within the reach of the average applied economist. Contributors include well-known experts David Dickey, Dennis Jansen and Daniel Thornton,MoreThis volume of expository essays brings recent theoretical developments on unit roots and cointegration within the reach of the average applied economist. Contributors include well-known experts David Dickey, Dennis Jansen and Daniel Thornton, Phillipe Perron, Yash Mehra, Roger Perman and Dennis Holden and Glenn Otto. Their original works, some of which are published elsewhere, are now revised, extended and made more pedagogic. Data used in these works are given for replication of the original results. Methods of testing for unit roots, their implications and limitations, estimation of cointegrating relationships, consequences of testing the unit root null against an alternative of a one time break in trend, usefulness of these techniques in applied economic work and the significance of various diagnostic tests are all explained in a simple and easy to replicate manner.