Nonstationary Time Series Analysis and Cointegration

Nonstationary Time Series Analysis and Cointegration

Nonstationary Time Series Analysis and Cointegration

Nonstationary Time Series Analysis and Cointegration

Synopsis

This book shows major developments in the econometric analysis of the long run (non-stationary and cointegration) - a field which has developed dramatically over the last twelve years. The papers here describe and evaluate new methods, provide useful overviews, and show detailedimplementations helpful to practitioners. Papers include Michael Clements and David Hendry's substantive analysis of economic forecasting, necessarily based around an integral understanding of integration and cointegration. The paper by Fabio Canova, Mary Finn and Adrian Pagan evaluates the realbusiness cycles models using the new techniques. Other topics ocvered include an overview of the different estimators of cointegrating relationships, and a new test of cointegration. Applications are shown finding roots in macroeconomic series, testing the Fisher Hypoethesis, testing money demandfunctions, to testing for inflationary bubbles. This book provides a good coverage of the depth of this literature showing the importance of an understanding of non-stationarity and cointegration.

Excerpt

These papers were invited for a special symposium as part of the Australasian Economic Modelling Conference in 1992. In alphabetic order, the speakers were Francis Diebold, Steven Durlauf, Neil Ericsson, Colin Hargreaves, David Hendry, Svend Hylleberg, Adrian Pagan and Peter Phillips. The paper by David Harris and Brett Inder was a contributed paper that we all recognised as worth adding and fitted well with the other papers. Thus this is not a conference volume but rather a set of papers collected together on the particular topic, 'Nonstationary Time Series Analysis and Cointegration', matching the particular research interests of the authors.

This annual conference series has now been renamed the 'Asia-Pacific Economic Modelling Conference' and rather than publish the invited papers in book form they will in future appear in a new journal which we propose to call the 'Asia-Pacific Economic Review'. The first issue of this will be officially January 1995, but hopefully it will be available before then. The major topic of the first issue will be 'Savings and Investment'. The journal specifically aims to publish quantitative economic papers, ranging from quantitative descriptive analyses, to computer general equilibrium models to econometric analyses and modelling. Contributed papers are welcome and should be sent to Colin Hargreaves at the Australian National University.

Before these conferences, we always run a three-day training course related to the main topic of the conference and taught by some of the invited speakers. In 1992, David Hendry, Peter Phillips and Adrian Pagan taught the course, which was entitled 'Business Cycle Modelling, Macroeconometrics and Cointegration'. I thank them warmly for giving such a splendid course. The panel discussion at the end of the course was exceptional such that we all regretted that we had not recorded it. Thus we decided to record the panel discussion at the end of the conference and some comments from that are summarised in Chapter 1.

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