Nonstationary Time Series Analysis and Cointegration

By Colin P. Hargreaves | Go to book overview

Foreword

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.

-xvii-

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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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