Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
by Anindya Banerjee; John W. Galbraith; David Hendry & Juan J. Dolado
This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysingsuch data are of recent origin and there are few existing expositions of the literature. This book focuses on the exploration of relationships among integrated data series and the exploitation of these relationships in dynamic econometric modelling. The concepts of co-integration anderror-correction models are fundamental components of the modelling strategy. This area of time-series econometrics has grown in importance over the past decade and is of interest to econometric theorists and applied econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptiveand purely theoretical accounts of the literature. The asymptotic theory of integrated processes is described and the tools provided by this theory are used to develop the distributions of estimators and test statistics. Practical modelling advice, and the use of techniques for systems estimation,are also emphasized. A knowledge of econometrics, statistics, and matrix algebra at the level of a final-year undergraduate or first-year undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.
close this panelAnindya Banerjee was gained his doctorate at Nuffield College, Oxford and then became Junior Research Fellow at Jesus College.Juan Dolado was Lecturer in Economics in the University of Oxford from 1986-7 and gained his doctorate at Nuffield College. He has held a number of posts at the Bank of Spain, including Senior Economist and Lecturer in Economics at the Bank's Centre for Graduate Studies. John W. Galbraith taught PPE and econometrics at the University of Oxford from 1984-5 and was a Research Fellow at Nuffield College and a Lecturer at Wadham College from 1986-7. He has also worked as an Economist at the Bank of Canada. David Hendry is a Fellow of the Econometric Society and of theBritish Academy. He is Visiting Research Professor in Economics at Duke University and holds Special Lectureships at the University of Iowa, McMaster University, and Queen's University, Ontario. He is Governor of the National Institute for Economic and Social Research and a Consultant to NationalEconomic Research Associates. He is joint editor of the Oxford Bulletin of Economics and Statistics and on the editorial panel of the OUP journal, Oxford Review of Economic Policy. He was formerly a Lecturer and then a Professor at the London School of Economics and held editorial posts on theEconomic Journal and Econometrica.
close this panel'This landmark in the history of econometrics is recommended to those who are more than superficially interested in the subject, including all those teaching the subject ... there is no competitor for this book.'De Economist
'Very complete and exhaustive ... up-to-date presentation and theories ... clear examples and useful statistical tables.'Mr Tavera, Faculte de Sciences Economiques
'A very readable survey of many of the important contributions to this theoretical literature ... it is clear that unit roots, cointegration, and Wiener process theory are going to play an important role in the continuing debate. This book provides a valuable resource for all researchersinterested in these topics.'Economic Journal
'Fills a gap in the market - a readable text which provides a comprehensive coverage of recent research in this very important area.'Dr C.O. Alexander, University of Sussex
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