Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David Hendry
Abstract
This book considers the econometric analysis of both stationary and non‐stationary processes, which may be linked by equilibrium relationships. It provides a wide‐ranging account of the main tools, techniques, models, concepts, and distributions involved in the modelling of integrated processes (i.e. those that accumulate the effects of past shocks). Since the focus is on equilibrium concepts, including co‐integration and error‐correction, the analysis begins with a discussion of the application of these concepts to stationary empirical models. Later chapters show how integrated processes can ... More
This book considers the econometric analysis of both stationary and non‐stationary processes, which may be linked by equilibrium relationships. It provides a wide‐ranging account of the main tools, techniques, models, concepts, and distributions involved in the modelling of integrated processes (i.e. those that accumulate the effects of past shocks). Since the focus is on equilibrium concepts, including co‐integration and error‐correction, the analysis begins with a discussion of the application of these concepts to stationary empirical models. Later chapters show how integrated processes can be reduced to this case by suitable transformations that take advantage of co‐integrating (equilibrium) relationships. The concepts of co‐integration and error‐correction models are shown to be fundamental in this modelling strategy. Practical modelling advice and empirical illustrations are provided.
Keywords:
co‐integration,
econometrics,
equilibrium relationships,
error correction,
integration,
non‐stationarity
Bibliographic Information
| Print publication date: 1993 |
Print ISBN-13: 9780198288107 |
| Published to Oxford Scholarship Online: November 2003 |
DOI:10.1093/0198288107.001.0001 |
Authors
Affiliations are at time of print publication.
Anindya Banerjee, author
Wadham College, Oxford
Author Webpage
Juan J. Dolado, author
Bank of Spain, Madrid
John W. Galbraith, author
McGill University
Author Webpage
David Hendry, author
Nuffield College, Oxford
Author Webpage
More
Less
