New Directions in Econometric Practice: General to Specific Modelling, Cointegration and Vector Autoregression

Wojciech Charemza, Derek Deadman, Richard E. Quandt

ISBN 10: 1858986036 / ISBN 13: 9781858986036

Edité par Edward Elgar Publishing Ltd, 1997

New Directions in Econometric Practice: General to Specific Modelling, Cointegration and Vector Autoregression This book is in very good condition and will be shipped within 24 hours of ordering. The cover may have some limited signs of wear but the pages are clean, intact and the spine remains undamaged. This book has clearly been well maintained and looked after thus far. Money back guarantee if you are not satisfied. See all our books here, order more than 1 book and get discounted shipping. . N° de réf. du vendeur 7719-9781858986036

Synopsis :

The second edition of this widely acclaimed text presents a thoroughly up-to-date intuitive account of recent developments in econometrics. It continues to present the frontiers of research in an accessible form for non-specialist econometricians, advanced undergraduates and graduate students wishing to carry out applied econometric research.

This new edition contains substantially revised chapters on cointegration and vector autoregressive (VAR) modelling, reflecting the developments that have been made in these important areas since the first edition. Special attention is given to the Dickey-Pantula approach and the testing for the order of integration of a variable in the presence of a structural break. For VAR models, impulse response analysis is explained and illustrated. There is also a detailed but intuitive explanation of the Johansen method, an increasingly popular technique. The text contains specially constructed and original tables of critical values for a wide range of tests for stationarity and cointegration. These tables are for Dickey-Fuller tests, Dickey-Hasza-Fuller and HEGY seasonal integration tests and the Perron 'additive outlier' integration test.

À propos de l?auteur: Wojciech W. Charemza, Professor of Economics and Derek F. Deadman, former Senior Lecturer in Economics, University of Leicester, UK

Détails bibliographiques

Titre : New Directions in Econometric Practice: ...
Éditeur : Edward Elgar Publishing Ltd
Date d'édition : 1997
Reliure : Paperback
Etat : Very Good
Edition : 2ème Édition