Advances in Econometrics, Volume 8: Co-Integration, Spurious Regressions, and Unit Roots

Editors: Thomas B. Fomby (SMU), George F. Rhodes, Jr. (Colorado State U)

Copyright 1990 by JAI PRESS INC. Greenwich, Connecticut ISBN: 1-55938-038-1

• Introduction, Thomas B. Fomby and George F. Rhodes, Jr. 

Part I. Survey and the New Concept of Multi-Co-Integration. 

• Unit Roots in Economic Time Series: A Selected Survey, Francis X. Diebold and Marc Nerlove. 
• Multicointegration, C.W.J. Granger and Tae-Hwy Lee. 

Part II. Developments in Testing. 

• Testing for Unot Roots in Vector Processes and its Relation to Cointegration, David A. Dickey. 
• Testing for Unit Roots and Cointegration by Variable Addition, Joon Y. Park. 
• Tests of Joint Hypotheses for Time Series Regression with a Unit Root, Pierre Perron. 
• Dickey-Fuller Tests with Drift, Peter Schmidt. 

Part III. Developments in Theory. 

• State Space Approach to Modeling Cointegrated Time Series, Masanao Aoki. 
• Estimation and Inference in Models of Cointegration: A Simulation Study, Bruce E. Hansen and Peter C.B. Phillips. 
• Common Deterministic Trends, Common Factors, and Co-Integration, Heejoon Kang. 
• Unit Roots and Their Dependence on the Conditioning Information Set, Aris Spanos. 

Part IV. Applications. 

• On Unit Roots and the Persistent Dependence of Futures Prices, John Doukas. 
• The Wage-Price Nexus in a Small Developing Country: An Application of Co- Integration Theory, Andrews Downes, Carlos Holder and Hyginus Leon. 
• Evaluating Trends in Aggregate Time Series: A Monte Carlo Based Forecasting Approach, Lee E. Ohanian.