Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry
- Published in print:
- 1993
- Published Online:
- November 2003
- ISBN:
- 9780198288107
- eISBN:
- 9780191595899
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198288107.003.0001
- Subject:
- Economics and Finance, Econometrics
Serves as an introductory overview for the rest of the book, and outlines its main aims. As a basis for the following chapters, an overview and clarification of equilibrium relationships in economic ...
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Serves as an introductory overview for the rest of the book, and outlines its main aims. As a basis for the following chapters, an overview and clarification of equilibrium relationships in economic theory is presented. A preliminary discussion of testing for orders of integration and the estimation of long‐run relationships is provided. The chapter summarizes key concepts from time‐series analysis and the theory of stochastic processes and, in particular, the theory of Brownian motion processes. Several empirical examples are offered as illustration of these concepts.Less
Serves as an introductory overview for the rest of the book, and outlines its main aims. As a basis for the following chapters, an overview and clarification of equilibrium relationships in economic theory is presented. A preliminary discussion of testing for orders of integration and the estimation of long‐run relationships is provided. The chapter summarizes key concepts from time‐series analysis and the theory of stochastic processes and, in particular, the theory of Brownian motion processes. Several empirical examples are offered as illustration of these concepts.
Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry
- 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 ...
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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 Sims, Stock and Watson (1990), we show how a proper consideration of the deterministics, the orders of integration of the variables, and dynamic specifications that take into account any co‐integrating relationships among the variables, enables the use of many of the standard distributional results to be restored. Our analysis is illustrated by a number of informative examples.Less
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 Sims, Stock and Watson (1990), we show how a proper consideration of the deterministics, the orders of integration of the variables, and dynamic specifications that take into account any co‐integrating relationships among the variables, enables the use of many of the standard distributional results to be restored. Our analysis is illustrated by a number of informative examples.
Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry
- Published in print:
- 1993
- Published Online:
- November 2003
- ISBN:
- 9780198288107
- eISBN:
- 9780191595899
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198288107.003.0003
- Subject:
- Economics and Finance, Econometrics
Presents the important properties of integrated variables and sets out some of the preliminary asymptotic theories essential for the consideration of such processes. It explores the concepts of unit ...
More
Presents the important properties of integrated variables and sets out some of the preliminary asymptotic theories essential for the consideration of such processes. It explores the concepts of unit roots, non‐stationarity, orders of integration, and near integration, and demonstrates the use of the theory in understanding the behaviour of least‐squares estimators in spurious regressions and in models involving integrated data. The theoretical analysis is accompanied by evidence from Monte Carlo simulations. Several examples are also provided to illustrate the use of Wiener distribution theory in deriving asymptotic results for such models.Less
Presents the important properties of integrated variables and sets out some of the preliminary asymptotic theories essential for the consideration of such processes. It explores the concepts of unit roots, non‐stationarity, orders of integration, and near integration, and demonstrates the use of the theory in understanding the behaviour of least‐squares estimators in spurious regressions and in models involving integrated data. The theoretical analysis is accompanied by evidence from Monte Carlo simulations. Several examples are also provided to illustrate the use of Wiener distribution theory in deriving asymptotic results for such models.
