Introduction and Overview
Introduction and Overview
Serves as an introductory overview for the rest of the book, and outlines its main aims. As a basis for the following chapters, an overview and clarification of equilibrium relationships in economic theory is presented. A preliminary discussion of testing for orders of integration and the estimation of long‐run relationships is provided. The chapter summarizes key concepts from time‐series analysis and the theory of stochastic processes and, in particular, the theory of Brownian motion processes. Several empirical examples are offered as illustration of these concepts.
Keywords: ARMA processes, Brownian motion, equilibrium relationships, exogeneity, long‐run relationships, orders of integration, stochastic processes, time‐series analysis, Wiener processes Monte Carlo simulation
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