Includes bibliographical references (p. -287) and indexes.
|Series||Advanced texts in econometrics|
|LC Classifications||HB139 .H38 1996|
|The Physical Object|
|Pagination||xii, 294 p. :|
|Number of Pages||294|
|ISBN 10||0198773536, 0198773528|
|LC Control Number||95020074|
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. Time-Series-Based Econometrics: Unit Roots and Co-Integrations Michio Hatanaka In the last decade, time-series econometrics has made extraordinary developments on unit roots and cointegration. The book is divided into two parts. Part I deals with the univariate unit root, i.e. to see if a stochastic trend is present when each time series is analysed separately. Part II discusses co-integration, i.e. the empirical investigation of long-run relationships among a number of time series. Read this book on Questia. Time-Series-Based Econometrics: Unit Roots and Co-Integrations by Michio Hatanaka, | Online Research Library: Questia Read the full-text online edition of Time-Series-Based Econometrics: Unit Roots and Co-Integrations ().
TIME-SERIES-BASED ECONOMETRICS Michio Hatanaka Oxford University Press, IN CHOI Kookmin University Since the influential work by Nelson and Plosser () and Engle and Granger (), many new and exciting developments have been made in the analysis of time series involving autoregressive unit roots. Hatanaka (; hereafter HT). Time-Series-Based Econometrics Unit Roots and Co-integrations. Support. Adobe DRM ( / – 3 customer ratings) 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. Time Series Based Econometrics (P) The specification in this catalogue, including without limitation price, format, extent, number of illustrations, and month of publication, was as accurate as possible at the time the catalogue was compiled. Time-Series-Based Econometrics: Unit Roots and Co-integrations: Hatanaka, Michio: Books - or: Michio Hatanaka.
Chapter 1: Fundamental Concepts of Time-Series Econometrics 5 with. θ(L) defined by the second line as the moving-average polynomial in the lag operator. Using lag operator notation, we can rewrite the ARMA(, q) process in equation p () com- pactly as. φ =α+θ εFile Size: KB. Econometrics 2, Fall Heino Bohn Nielsen Septem INTRODUCTION TO TIME SERIES Abstract: This note introduces the concept of time series data. First we give some basic deﬁnitions and discuss the diﬀerences between cross-sectional data (analyzed in Econometrics 1) and time series data. We then say a few words on time dependence,File Size: KB. This book is a must for anyone pretending to do research with financial data. It has become the reference book for any course similar to the first part of ours. - Enders, W., (): Applied Econometrics Time Series. John Wiley and Sons: New York. An easy introductory book to the analysis of time series. Highly recommended for beginners File Size: 67KB. Downloadable! Since the influential work by Nelson and Plosser () and Engle and Granger (), many new and exciting developments have been made in the analysis of time series involving autoregressive unit roots. Hatanaka (; hereafter HT) reviewed the literature on unit roots and cointegration up to and provided new perspectives on this research : In Choi.