Publisher description for Nonstationary time series analysis and cointegration / edited by Colin P. Hargreaves.

Bibliographic record and links to related information available from the Library of Congress catalog

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This collection of papers explores the major developments in the analysis of non-stationary time series and cointegration. It provides comprehensive coverage of the depth of the current research and demonstrates the importance of an understanding of non-stationarity and cointegration. Papers cover David Hendry's work on forecasting, Peter Phillips' work on Bayesian models, Svend Hylleberg's work on seasonality, and Adrian Pagan's work on real business cycle models. Also included is an overview of the different estimators of cointegrating relationships and a new test of cointegration.

Library of Congress subject headings for this publication:
Econometric models.
Economics -- Statistical methods.
Time-series analysis.