Co-Integration, Error Correction, and the Econometric Ana...
Banerjee, Anindya / Galbraith, J. W. / Dolado, Juan
This book is wide-ranging in its account of literature on cointegration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behavior are common in economics, although techniques appropriate to analyzing such dataare relatively new, with few existing expositions of the literature. This book explores relationships among integrated data series and their use in dynamic...