Using Cointegration Analysis in Econometric Modelling by Richard I. D. Harris

Product Details
Amazon Sales Rank: #2084809 in Books
Published on: 1995-05-17
Number of items: 1
Binding: Textbook Binding
192 pages
Editorial Reviews

From the Back Cover
The book introduces co-intergration techniques at a very moderate technical level; its aim is a pratical one; testing for (co)integration is explained throughly with plenty of examples which emphasize how the tests are actually performed. Uses a "Toolkit" approach with an emphasis on practice and the actual tests used. Discusses Engel-Granger procedures. Boxes explaining more advanced results, proofs and theorems. Covers the Johansen technique. An overview of structual VAR modelling. Examples from relevant software: PCFiml, CATS (in RATS), PCGive, SPSS, etc. Supllements intermediate and advanced courses in econometrics and/or time series modelling. The subject has entered the core in these areas but is not readily available in textbooks except at a very high level. Prerequisites: Statistics for Economists, Introduction to Econometrics.
Customer Reviews

Using Cointegration Analysis in Econmetric Modelling
The book is pretty average. The author explains relatively well unit roots and tests on whether they are present in time series or not. When it comes to cointegration the author explains well the Engle-Granger methodology and its caveats. He also explains a dynamic approach whic is superior in terms of less bias in equation estimation and inference. However when it comes to the systems approach developed by Johansen ( a VAR approach) the explanations get confusing when it comes to testing hyptoheses. By trying to simplify too much, there is a great risk the non-knowledgeable reader can get easily lost and discouraged.