Time-Series-Based Econometrics : Unit Roots and Co-integrations: Unit Roots and Co-integrations - Couverture souple

Livre 11 sur 26: Advanced Texts in Econometrics

Hatanaka, Michio

 
9780198773535: Time-Series-Based Econometrics : Unit Roots and Co-integrations: Unit Roots and Co-integrations
Couverture souple
ISBN 10 : 0198773536 ISBN 13 : 9780198773535
Editeur : OUP Oxford, 1996

Synopsis

In the last decade, time-series econometrics has made extraordinary developments on unit roots and cointegration. However, this progress has taken divergent directions, and has been subjected to criticism from outside the field. In this book, Professor Hatanaka surveys the field, examines those portions that are useful for macroeconomics, and responds to the criticism. His survey of the literature covers not only econometric methods, but also the application of these methods to macroeconomic studies.

The most vigorous criticism has been that unit roots to do not exist in macroeconomic variables, and thus that cointegration analysis is irrelevant to macroeconomics. The judgement of this book is that unit roots are present in macroeconomic variables when we consider periods of 20 to 40 years, but that the critics may be right when periods of 100 years are considered. Fortunately, most of the time series data used for macroeconomic studies cover fall within the shorter time span.

Among the numerous methods for unit roots and cointegration, those useful from macroeconomic studies are examined and explained in detail, without overburdening the reader with unnecessary mathematics. Other, less applicable methods are dicussed briefly, and their weaknesses are exposed. Hatanaka has rigourously based his judgements about usefulness on whether the inference is appropriate for the length of the data sets available, and also on whether a proper inference can be made on the sort of propositions that macroeconomists wish to test.

This book highlights the relations between cointegration and economic theories, and presents cointegrated regression as a revolution in econometric methods. Its analysis is of relevance to academic and professional or applied econometricians. Step-by-step explanations of concepts and techniques make the book a self-contained text for graduate students.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

In the last decade, time-series econometrics has made extraordinary developments on unit roots and cointegration. However, this progress has taken divergent directions, and has been subjected to criticism from outside the field. In this book, Professor Hatanaka surveys the field, examines those portions that are useful for macroeconomics, and responds to the criticism. His survey of the literature covers not only econometric methods, but also the application of these methods to macroeconomic studies. The most vigorous criticism has been that unit roots to do not exist in macroeconomic variables, and thus that cointegration analysis is irrelevant to macroeconomics. The judgement of this book is that unit roots are present in macroeconomic variables when we consider periods of 20 to 40 years, but that the critics may be right when periods of 100 years are considered. Fortunately, most of the time series data used for macroeconomic studies cover fall within the shorter time span. Among the numerous methods for unit roots and cointegration, those useful from macroeconomic studies are examined and explained in detail, without overburdening the reader with unnecessary mathematics. Other, less applicable methods are dicussed briefly, and their weaknesses are exposed. Hatanaka has rigourously based his judgements about usefulness on whether the inference is appropriate for the length of the data sets available, and also on whether a proper inference can be made on the sort of propositions that macroeconomists wish to test. This book highlights the relations between cointegration and economic theories, and presents cointegrated regression as a revolution in econometric methods. Its analysis is of relevance to academic and professional or applied econometricians. Step-by-step explanations of concepts and techniques make the book a self-contained text for graduate students.

Revue de presse

Overall, this book provides an excellent self-contained guide to both the theory and practice of contemporary time series econometrics. (Economic Journal)

This textbook is aimed primarily at the graduate market yet will also be of considerable interest to professionals in the fields of econometrics and applied macroeconomics ... provides an excellent self-contained guide to both the theory and practice of contemporary time series econometrics. (S.J. Leybourne, The Economic Journal, Vol 107, No. 440, January 1997)

The book contains most of the most recent research on unit roots and co-integration published in various journals. Thus, the reader gets a quick and very sound overview of the latest developments in a unique notation. Herbert Buscher - Zentralblatt fur Mathematik und ihre Grenzgebiete 906/99.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
OUP Oxford
Date d'édition
1996
Langue
anglais
ISBN 10 
0198773536
ISBN 13 
9780198773535
Reliure
Broché
Nombre de pages
308
Coordonnées du fabricant
non disponible
Personne responsable
Ufficio Anagrafiche Messaggerie
ufficio.anagrafiche@meli.it

Via Verdi, 8
Assago Milano
20090
Italie

Autres éditions populaires du même titre

9780198773528: Time-Series-Based Econometrics: Unit Roots and Co-Integrations

Edition présentée

ISBN 10 :  0198773528 ISBN 13 :  9780198773528
Editeur : Oxford University Press, 1996
Couverture rigide