Analysis of Integrated and Cointegrated Time Series with R 原版PDF...

This book’s title is the synthesis of two influential and outstanding entities. To quote David Hendry in the Nobel Memorial Prize lecture for Clive W. J. Granger,“[the] modeling of non-stationary macroeconomic time series [. . . ] has now become the dominant paradigm in empirical macroeconomic research” (Hendry [2004]). Hence, a thorough command of integration and cointegration analysis is a must for the applied econometrician. On the other side is the open-source statistical programming environment R. Since the mid-1990s, it has grown steadily out of infancy and can now be considered mature, flexible, and powerful software with more than 600 contributed packages. However, it is fair to say that R has not yet received the attention among econometricians it deserves. This book tries to bridge this gap by showing how easily the methods and tools encountered in integration and cointegration analysis are implemented in R.