Cointegration

1. Front Matter

   Pages i-xviii

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2. Editor’s Introduction

   • B. Bhaskara Rao

   Pages 1-8

3. A Primer on Cointegration with an Application to Money and Income

   • David A. Dickey, Dennis W. Jansen, Daniel L. Thornton

   Pages 9-45

4. Unit Roots and Cointegration for the Economist

   • Darryl Holden, Roger Perman

   Pages 47-112

5. Trend, Unit Root and Structural Change in Macroeconomic Time Series

   • Pierre Perron

   Pages 113-146

6. Wage Growth and the Inflation Process: An Empirical Approach

   • Yash P. Mehra

   Pages 147-159

7. Diagnostic Testing: An Application to the Demand for M1

   • Glenn Otto

   Pages 161-184

8. Back Matter

   Pages 185-231

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`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.

• cointegration
• integration
• macroeconomics
• time series

• University of New South Wales, Kensington, Australia

  B. Bhaskara Rao

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