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.
Páginas : 192
Peso : 8 mb.
Formato : PDF.
Edición : Primera
Año de Publicación : 1995
ISBN : 9780133558920
Editorial : Prentice Hall
Autor : R. I. D Harris
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