Nonstationary Time Series Analysis and Cointegration

By Colin P. Hargreaves | Go to book overview

In concluding I am quite optimistic about the current development with the area of seasonal modelling. What needs to be done now is to combine good economic theory with adequate statistical models, but that this is a formidable task is well known. However, a promising beginning is Crutchfield and Zellner ( 1962), Ghysels ( 1984, 1988), Osborn ( 1988), Barsky and Miron ( 1989), Todd ( 1990) and Hansen and Sargent ( 1990, 1991).


REFERENCES

BARSKY, R. B. and J. A. MIRON ( 1989), "'The Seasonal Cycle and the Business Cycle'", Journal of Political Economy, Vol. 97, No. 3, pp. 503-34, reprinted in HYLLEBERG ( 1992).

BEAULIEU, J. J. and J. A. MIRON ( 1990), "'The Seasonal Cycle in U.S. Manufacturing'", NBER Working Paper No. 3450.

BEAULIEU, J. J. and J. A. MIRON ( 1992), "'A Cross Country Comparison of Seasonal Cycles and Business Cycles'", Economic Journal, 102, pp. 772-88.

----- ( 1993), "'Seasonal Unit Roots in Aggregate U.S. Data'", Journal of Econometrics, 55, pp. 305-28.

BOX, G. E. P. and G. M. JENKINS ( 1970), Time Series Analysis: Forecasting and Control, San Francisco: Holden-Day.

BURRIDGE, P. and K. F. WALLIS ( 1984), "'Unobserved-Components Models for Seasonal Adjustment Filters'", Journal of Business and Economic Statistics, Vol. 2, No. 4, pp. 350-60, reprinted in HYLLEBERG ( 1992).

----- ( 1990), "'Seasonal adjustment and Kalman filtering: extension to periodic variances'". Journal of Business and Economic Statistics, 2, pp. 350-9, reprinted in HYLLEBERG ( 1992).

CANOVA, F. and B. E. HANSEN ( 1991), "'Are Seasonal Patterns Constant Over Time: A Test for Seasonal Stability'", Working Paper, Brown University and University of Rochester.

CRUTCHFIELD, J. and A. ZELLNER ( 1962), "'Analysis of port pricing of halibut: theoretical and empirical results'", chs. 6 and 7 in Economic Aspects of Halibut Fishery, United States Department of the Interior, Washington DC. Reprinted in HYLLEBERG ( 1992).

DICKEY, D. A., D. P. HASZA and W. A. FULLER ( 1984), "'Testing for Unit Roots in Seasonal Time Series'", Journal of the American Statistical Association, Vol. 79, No. 386, pp. 355-68, reprinted in HYLLEBERG ( 1992).

ENGLE, R. F. ( 1974), "'Band Spectrum Regression'", International Economic Review, Vol. 15, No. 1, pp. 1-12.

ENGLE, R. F. and C. W. J. GRANGER ( 1987), "'Co-Integration and Error Correction: Representation, Estimation and Testing'", Econometrica, Vol. 55, No. 2, pp. 251-77.

ENGLE, R. F. and B. S. YOO ( 1987), "'Forecasting and testing in co-integrated systems'", Journal of Econometrics, Vol. 35, No. 1, pp. 143-61.

ENGLE, R. F., C. W. J. GRANGER, S. HYLLEBERG and H. LEE ( 1993), "'Seasonal Cointegration: The Japanese Consumption Function'", Journal of Econometrics, 55, pp. 275-98.

ERICSSON, N., D. F. HENDRY and H. TRAN ( 1992), "'Cointegration, Seasonality, Encompassing and the Demand for Money in the United Kingdom'", Chapter 6 in this book.

FRANSES, P. H. ( 1990), "'Testing for Seasonal Unit Roots in Monthly Data'", Research Memorandum Series No. TI-1990/30, Tinbergen Institute, Erasmus University. Presented at ESEM, Barcelona.

----- ( 1991), "'A Multivariate Approach to Modeling Univariate Seasonal Time Series'", Working Paper, Erasmus University Rotterdam. Forthcoming, Journal of Econometrics.

FRANSES, P. H. and H. P. BOSWUK ( 1991), "'Testing for Periodic Cointegration'", Paper presented at 'Structure and Dynamics in Econometrics II', Tinbergen Institute.

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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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