Time Series Unit Roots And Cointegration

Addressing the need for a high-level analysis of unit roots and co-integrations, this text integrates the theory of stationary sequences and issues arising in the estimation of their parameters, distributed lags, spectral density function and co-integration. The book also covers topics that are important for understanding developments in the estimation and testing of co-integrated nonstationary sequences, such as Brownian motion, stochastic integration and central limit theorems.

Review: Dhrymes' new book deals exclusively and rigorously with an extremely important topic in time-series econometrics. Dhrymes is terribly good at proving theorems; this unified and careful treatment will be useful for teachers, students, and practitioners of advanced econometrics. It will serve as supplementary reading in time-series courses, as a text for a very advanced special topics course, and as a standard reference in the field.

If you want to cite a theorem and its proof, here it is. --MARC NERLOVE, Department of Agricultural and Resource Economics, University of Maryland, College Park