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This is a survey of recent developments in the field of cointegration, which links long run components of a pair or of a group of series. It can then be used to discuss some types of equilibrium and to introduce them into time-series models in a fairly uncontroversial way. The idea was introduced in the early 1980s and has generated much interest since then amongst econometricians and macroeconomists. The authors discuss the basic ideas in their introduction, and the final chapters review the most recent developments in the field in a non-technical way that will enable economists with some training in modern econometrics to understand and appreciate these
Readership: Graduate students in econometrics and economics; academic economists.
Edited by R. F. Engle and C. W. J. Granger, both Professors of Economics, University of California, San Diego
"`An excellent and accessible introduction to the subject of cointegration.'
Simon Price, Essex University"
"'Together these papers should serve to bring the reader up to speed on the conceptual approaches to cointegration, provide a nice foundation for those who'll dig deeper into the theoretical structure, and give the applied reader at least a few examples of well-executed applications. This book could serve equally well as an introduction to cointegration for graduate students and for econometric practitioners and other professional economists interested in keeping up with developments in this exciting area.'
Dennis W. Jansen, Texas A&M University, The Southern Economic Journal, Jan. 1993"