Nonstationary Time Series Analysis and Cointegration

Major developments in the analysis of non-stationary time series and co-integration are shown in this book. Papers include David Hendry's work on forecasting, Peter Phillip's work on Bayesian models, Svend Hylleberg's work on seasonality, and Adrian Pagan's work on real business cycle models.Other topics covered include an overview of the different estimators of cointegrating relationships, and a new test of cointegration. Applications are shown finding roots in macroeconomic series, testing the Fisher Hypothesis, testing money demand functions, to testing for inflation bubbles. The book provides good coverage of the depth of this literature and shows the importance of an understanding of non-stationarity and cointegration.Hargreaves, Colin is the author of 'Nonstationary Time Series Analysis and Cointegration', published 1994 under ISBN 9780198773917 and ISBN 0198773919.