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About this product
- DescriptionThe second edition of this widely acclaimed text presents a thoroughly up-to-date intuitive account of recent developments in ecometrics. It continues to present the frontiers of research in an accessible form for n-specialist ecometricians, advanced undergraduates and graduate students wishing to carry out applied ecometric research. This new edition contains substantially revised chapters on cointegration and vector autoregressive (VAR) modelling, reflecting the developments that have been made in these important areas since the first edition. Special attention is given to the Dickey-Pantula approach and the testing for the order of integration of a variable in the presence of a structural break. For VAR models, impulse response analysis is explained and illustrated. There is also a detailed but intuitive explanation of the Johansen method, an increasingly popular technique. The text contains specially constructed and original tables of critical values for a wide range of tests for stationarity and cointegration. These tables are for Dickey-Fuller tests, Dickey-Hasza-Fuller and HEGY seasonal integration tests and the Perron 'additive outlier' integration test.
- Author BiographyWojciech W. Charemza, Professor of Economics and Derek F. Deadman, former Senior Lecturer in Economics, University of Leicester, UK
- Author(s)Derek Deadman,Wojciech Charemza
- PublisherEdward Elgar Publishing Ltd
- Date of Publication15/05/1997
- SubjectEconomics: Professional & General
- Place of PublicationCheltenham
- Country of PublicationUnited Kingdom
- ImprintEdward Elgar Publishing Ltd
- Content Notefigs.tabs.
- Weight500 g
- Width234 mm
- Height156 mm
- Spine1270 mm
- Foreword byRichard E. Quandt
- Edition Statement2nd Revised edition
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