Analysis of Integrated and Cointegrated Time Series with R

by Bernhard Pfaff

The analysis of integrated and cointegrated time series can be considered as the main methodology employed in applied econometrics. This book not only introduces readers to this topic but also enables them to conduct the various unit root tests and cointegration methods by utilizing the free statistical programming environment R. The book encompasses seasonal unit roots, fractional integration, coping with structural breaks, and inference in co-integrated vector autoregressive models. The book is enriched by numerous programming examples to artificial and real data so that it is suitable as a supplementary text for computer lab classes. Bernhard Pfaff studied economics at the universities of Göttingen, Germany; Davis, California; and Freiburg im Breisgau, Germany. He obtained a diploma and a doctorate degree at the economics department of the last one where he was employed as a research and teaching assistant. He has worked for many years as economist and quantitative analyst in research departments of financial institutions. Bernhard Pfaff is the author and maintainer of the contributed R package "urca". From the "All in all, it is a book by which the usage of R for analyzing time series with the mentioned tools will surely be inhanced. It is hoped that the series expands further with similar well done texts." Allgemeines Statistisches Archive, vol. 90, No. 3, pgs 486-487

Kindle Edition

First published November 30, 2005