Analysis of Integrated and Cointegrated Time Series with R

• Main Author: Pfaff, Bernhard (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York, 2008.
• Edition: 2.
• Series: Use R!
• Subjects: Mathematical statistics.; Probabilities.; Statistics.; Econometrics.; Economics.; Statistical Theory and Methods.; Probability Theory and Stochastic Processes.; Probability and Statistics in Computer Science.

The analysis of integrated and co-integrated time series can be considered as the main methodology employed in applied econometrics. This book not only introduces the reader to this topic but enables him to conduct the various unit root tests and co-integration methods on his own by utilizing the fr...

Table of Contents:

• Theoretical Concepts
• Univariate Analysis of Stationary Time Series
• Multivariate Analysis of Stationary Time Series
• Non-stationary Time Series
• Cointegration
• Unit Root Tests
• Testing for the Order of Integration
• Further Considerations
• Cointegration
• Single-Equation Methods
• Multiple-Equation Methods.