Nonstationary Time Series Analysis and Cointegration

By Colin P. Hargreaves | Go to book overview

Contents
List of Figuresvii
List of Tablesxiii
List of Contributorsxv
Forewordxvii
1. Introduction1
2. Towards a Theory of Economic Forecasting9
3. Bayes Models and Forecasts of Australian Macroeconomic Time Series53
4. A Review of Methods of Estimating Cointegrating Relationships87
5. A Test of the Null Hypothesis of Cointegration133
6. Modelling Seasonal Variation153
7. Cointegration, Seasonality, Encompassing, and the Demand for Money179 in the United Kingdom
8. Evaluating a Real Business Cycle Model225
9. Misspecification versus bubbles in the Cagan hyperinflation model257

-v-

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Nonstationary Time Series Analysis and Cointegration
Table of contents

Table of contents

  • Title Page iii
  • Contents v
  • List of Figures vii
  • List of Tables xiii
  • List of Contributors xv
  • Foreword xvii
  • 1 - Introduction 1
  • References 8
  • 2 - Towards a Theory of Economic Forecasting 9
  • Appendix 48
  • References 50
  • 3 - Bayes Models and Forecasts of Australian Macroeconomic Time Series 53
  • References 86
  • 4 - A Review of Methods of Estimating Cointegrating Relationships 87
  • References 129
  • 5 - A Test of the Null Hypothesis of Cointegration 133
  • References 151
  • 6 - Modelling Seasonal Variation 153
  • References 176
  • 7 - Cointegration, Seasonality, Encompassing, and the Demand for Money in the Uk 179
  • Appendix A. the Data 214
  • Appendix B. Sequential Reduction Analysis 216
  • References 220
  • 8 - Evaluating a Real Business Cycle Model 225
  • Appendix 252
  • References 254
  • 9 - Misspecification Versus Bubbles in the Cagan Hyperinflation Model 257
  • References 281
  • 10 Regime Switching with Time-Varying Transition Probabilities 283
  • Appendix 299
  • References 302
  • Name Index 303
  • Subject Index 307
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