Time Series, Unit Roots, and Cointegration

by Phoebus J. Dhrymes

Overview

This book addresses the need for a high-level analysis of unit roots and cointegration. "Time Series, Unit Roots, and Cointegration" integrates the theory of stationary sequences and issues arising in the estimation of their parameters, distributed lags, spectral density function, and cointegration. The book also includes topics that are important for understanding recent developments in the estimation and testing of cointegrated nonstationary sequences, such as Brownian motion, stochastic integration, and central limit theorems. It explores an important topic in time-series econometrics. It addresses the need for a high-level analysis of unit roots and cointegration. It is written by an excellent expositor.

Product Details

ISBN-13:	9780122146954
Publisher:	Emerald Group Publishing Limited
Publication date:	12/02/1997
Edition description:	New Edition
Pages:	524
Product dimensions:	5.98(w) x 9.02(h) x 1.38(d)

About the Author

Professor Dhrymes is a Professor of Economics at Columbia University and a Fellow in the Econometric Society and the American Statistical Association. He is a recipient of Guggenheim, Ford Foundation, and NSF fellowships, and publishes widely on subjects in econometrics.

Table of Contents

Stochastic Sequences. Prediction and Estimation. Unit Roots; I(1) Regressors. Cointegration I. Cointegration II. Cointegration III. Brownian Motion. Stochastic Integration. Central Limit Theorems; Invariance. Frequently Used Symbols. Graphs of Sequences of Various Types. Bibliography. Index.

What People are Saying About This

Marc Nerlove

Dhrymes' new book deals exclusively and rigorously with an extremely important topic in time-series econometrics. Dhrymes is terribly good at proving theorems; this unified and careful treatment will be useful for teachers, students, and practitioners of advanced econometrics. It will serve as supplementary reading in time-series courses, as a text for a very advanced special topics course, and as a standard reference in the field. If you want to cite a theorem and its proof, here it is.

Peter M. Robinson

Professor Dhyrmes has provided an excellent and detailed treatment of unit root cointegration theory, including probabilistic foundations. This book will be a very useful resource to graduate students and researchers in time series and econometrics.