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Time-Series-Based Econometrics: Unit Roots and Co-integrations

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  • Hatanaka, Michio

    (Tezukayama University)

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    Abstract

    In the last decade, time-series econometrics has made extraordinary developments on unit roots and cointegration. However, this progress has taken divergent directions, and has been subjected to criticism from outside the field. In this book, Professor Hatanaka surveys the field, examines those portions that are useful for macroeconomics, and responds to the criticism. His survey of the literature covers not only econometric methods, but also the application of these methods to macroeconomic studies. The most vigorous criticism has been that unit roots to do not exist in macroeconomic variables, and thus that cointegration analysis is irrelevant to macroeconomics. The judgement of this book is that unit roots are present in macroeconomic variables when we consider periods of 20 to 40 years, but that the critics may be right when periods of 100 years are considered. Fortunately, most of the time series data used for macroeconomic studies cover fall within the shorter time span. Among the numerous methods for unit roots and cointegration, those useful from macroeconomic studies are examined and explained in detail, without overburdening the reader with unnecessary mathematics. Other, less applicable methods are dicussed briefly, and their weaknesses are exposed. Hatanaka has rigourously based his judgements about usefulness on whether the inference is appropriate for the length of the data sets available, and also on whether a proper inference can be made on the sort of propositions that macroeconomists wish to test. This book highlights the relations between cointegration and economic theories, and presents cointegrated regression as a revolution in econometric methods. Its analysis is of relevance to academic and professional or applied econometricians. Step-by-step explanations of concepts and techniques make the book a self-contained text for graduate students.

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    Bibliographic Info

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    This book is provided by Oxford University Press in its series OUP Catalogue with number 9780198773535 and published in 1996.

    ISBN: 9780198773535
    Order: http://ukcatalogue.oup.com/product/9780198773535.do
    Handle: RePEc:oxp:obooks:9780198773535

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    Cited by:
    1. Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
    2. David Martineau & Kiichiro Fukasaku, 1999. "Coopération monétaire en Asie de l'Est : l'apport des tests de causalité et de la cointégration," Économie et Prévision, Programme National Persée, vol. 140(4), pages 105-116.
    3. Robert M. Kunst & Michael Reutter, 2000. "Decisions on Seasonal Unit Roots," CESifo Working Paper Series 286, CESifo Group Munich.
    4. Kunst, Robert M., 2005. "Approaches for the Joint Evaluation of Hypothesis Tests: Classical Testing, Bayes Testing, and Joint Confirmation," Economics Series 177, Institute for Advanced Studies.
    5. Martha Misas Arango & Enrique López Enciso, 1998. "El Producto Potencial En Colombia: Una Estimación Bajo Var Estructural," BORRADORES DE ECONOMIA 002538, BANCO DE LA REPÚBLICA.
    6. Defne Mutluer & Yasemin Barlas, 2002. "Modeling the Turkish Broad Money Demand," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(2), pages 55-75.
    7. Maekawa, Koichi, 1997. "Periodically integrated autoregression with a structural break," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 467-473.
    8. Kunst, Robert M., 2002. "Testing for Stationarity in a Cointegrated System," Economics Series 117, Institute for Advanced Studies.
    9. Abbas Rezazadeh Karsalari & Mohsen Mehrara & Maysam Musai & Mosa Mohammadi, 2014. "Relationship between Economic Growth, Trade and Environment: Evidence from D8 Countries," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(2), pages 320-326, April.
    10. Lütkepohl, Helmut, 1999. "Vector autoregressions," SFB 373 Discussion Papers 1999,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    11. Lütkepohl, Helmut, 1999. "Vector autoregressive analysis," SFB 373 Discussion Papers 1999,31, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    12. P. J. Dawson & P. K. Dey, 2002. "Testing for the law of one price: rice market integration in Bangladesh," Journal of International Development, John Wiley & Sons, Ltd., vol. 14(4), pages 473-484.
    13. Pierre L. Siklos, 1999. "Inflation-target design: changing inflation performance and persistence in industrial countries," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 46-58.

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