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## Cointegration and Modelling the Long Run

*Simon Price*

### in Research Strategies in the Social Sciences: A Guide to New Approaches

- Published in print:
- 1998
- Published Online:
- November 2003
- ISBN:
- 9780198292371
- eISBN:
- 9780191600159
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198292376.003.0008
- Subject:
- Political Science, Reference

Extending the regression model to the analysis of non‐stationary, or trended, data. The examples demonstrate the application of unit root methodology, Engle‐Granger co‐integration procedures, and ... More

## Co‐Integration in Individual Equations

*Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry*

### in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

- Published in print:
- 1993
- Published Online:
- November 2003
- ISBN:
- 9780198288107
- eISBN:
- 9780191595899
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198288107.003.0007
- Subject:
- Economics and Finance, Econometrics

Examines methods of testing for co‐integration in single equations via static regressions, and provides simulation estimates of the percentiles of the distributions of statistics used in these tests. ... More

## Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

*Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David Hendry*

- Published in print:
- 1993
- Published Online:
- November 2003
- ISBN:
- 9780198288107
- eISBN:
- 9780191595899
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198288107.001.0001
- Subject:
- Economics and Finance, Econometrics

This book considers the econometric analysis of both stationary and non‐stationary processes, which may be linked by equilibrium relationships. It provides a wide‐ranging account of the main tools, ... More

## Time-Series-Based Econometrics: Unit Roots and Co-integrations

*Michio Hatanaka*

- Published in print:
- 1996
- Published Online:
- November 2003
- ISBN:
- 9780198773535
- eISBN:
- 9780191596360
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198773536.001.0001
- Subject:
- Economics and Finance, Econometrics

This book presents the most recent development in econometrics, namely the unit-root field including error correction and co-integration. It explains statistical procedures in detail, and emphasizes ... More

## Conceptual Framework of the Co‐Integration and Its Relation to Economic Theories

*Michio Hatanaka*

### in Time-Series-Based Econometrics: Unit Roots and Co-integrations

- Published in print:
- 1996
- Published Online:
- November 2003
- ISBN:
- 9780198773535
- eISBN:
- 9780191596360
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198773536.003.0012
- Subject:
- Economics and Finance, Econometrics

This chapter discusses co-integration and the Granger representation theorem. The theoretical structure of the Granger representation theorem is illustrated with economic interpretation by a ... More

## Asymptotic Inference Theories on Co‐Integrated Regressions *

*Michio Hatanaka*

### in Time-Series-Based Econometrics: Unit Roots and Co-integrations

- Published in print:
- 1996
- Published Online:
- November 2003
- ISBN:
- 9780198773535
- eISBN:
- 9780191596360
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198773536.003.0013
- Subject:
- Economics and Finance, Econometrics

This chapter analyses co-integrated regressions. It considers the cases where Δxt is i.i.d without a drift, Δxt is still i.i.d. but has a deterministic drift, and Δxt is serially correlated. It ... More

## Maximum‐Likelihood Inference Theory of Co‐Integrated VAR

*Michio Hatanaka*

### in Time-Series-Based Econometrics: Unit Roots and Co-integrations

- Published in print:
- 1996
- Published Online:
- November 2003
- ISBN:
- 9780198773535
- eISBN:
- 9780191596360
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198773536.003.0015
- Subject:
- Economics and Finance, Econometrics

This chapter examines inference procedures for the co-integration developed by Johansen (1988, 1991a, 1992b, 1992c, 1994) based on maximum-likelihood analysis of the VAR error-correction ... More

## Co‐Integration

*Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry*

### in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

- Published in print:
- 1993
- Published Online:
- November 2003
- ISBN:
- 9780198288107
- eISBN:
- 9780191595899
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198288107.003.0005
- Subject:
- Economics and Finance, Econometrics

The key concept of co‐integration of integrated time series is defined, and several examples are presented. An important theorem due to Granger on alternative representations of a system of ... More

## Regression With Integrated Variables

*Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry*

### in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

- Published in print:
- 1993
- Published Online:
- November 2003
- ISBN:
- 9780198288107
- eISBN:
- 9780191595899
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198288107.003.0006
- Subject:
- Economics and Finance, Econometrics

The chapter demonstrates the special problems with inference that arise, for example, in orthogonality tests for rational expectations, from the presence of integrated variables. Using results from ... More

## Co‐Integration in Systems of Equations

*Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry*

### in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

- Published in print:
- 1993
- Published Online:
- November 2003
- ISBN:
- 9780198288107
- eISBN:
- 9780191595899
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198288107.003.0008
- Subject:
- Economics and Finance, Econometrics

Co‐integration in systems of equations is analysed. Linear co‐integrated systems are expressed in error‐correction form and maximum likelihood estimation and inference for co‐integrating vectors are ... More

## Auxiliary Modeling Procedures

*David McDowall, Richard McCleary, and Bradley J. Bartos*

### in Interrupted Time Series Analysis

- Published in print:
- 2019
- Published Online:
- February 2021
- ISBN:
- 9780190943943
- eISBN:
- 9780190943981
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/oso/9780190943943.003.0005
- Subject:
- Sociology, Social Research and Statistics

Chapter 5 describes three sets of auxiliary methods that have emerged as add-on supplements to the traditional ARIMA model-building strategy. First, Bayesian information criteria (BIC) can be used to ... More

## Time Series Analysis with Two or More Time Series

*Youseop Shin*

### in Time Series Analysis in the Social Sciences: The Fundamentals

- Published in print:
- 2017
- Published Online:
- September 2017
- ISBN:
- 9780520293168
- eISBN:
- 9780520966383
- Item type:
- chapter

- Publisher:
- University of California Press
- DOI:
- 10.1525/california/9780520293168.003.0006
- Subject:
- Sociology, Law, Crime and Deviance

Chapter Six explains time series analysis with one or more independent variables. The dependent variable is the monthly violent crime rates and the independent variables are unemployment rates and ... More

## Stock Market Returns and Hyperinflation in Zimbabwe, 1998–2008

*Nyasha Mahonye and Leonard Mandishara*

### in Economic Management in a Hyperinflationary Environment: The Political Economy of Zimbabwe, 1980–2008

- Published in print:
- 2016
- Published Online:
- March 2016
- ISBN:
- 9780198747505
- eISBN:
- 9780191810442
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198747505.003.0009
- Subject:
- Economics and Finance, Development, Growth, and Environmental, Macro- and Monetary Economics

This chapter examines the long-run relationship of stock returns and its determinants in Zimbabwe during the hyperinflation period (1998–2008). Ordinary least squares (OLS) and co-integration ... More

## Monetary Policy Formulation and Implementation in a Hyperinflationary Environment: The Case of Zimbabwe, 2000–08

*Gladys Shumbambiri*

### in Economic Management in a Hyperinflationary Environment: The Political Economy of Zimbabwe, 1980–2008

- Published in print:
- 2016
- Published Online:
- March 2016
- ISBN:
- 9780198747505
- eISBN:
- 9780191810442
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198747505.003.0014
- Subject:
- Economics and Finance, Development, Growth, and Environmental, Macro- and Monetary Economics

In this chapter, monetary policy formulation and implementation under a hyperinflationary environment is analysed by testing the hypothesis of long-run money neutrality for Zimbabwe using ... More

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