Time-Series-Based Econometrics: Unit Roots and CO-Integrations Book

	List of figures
Pt. I	Unit-Root Tests in Univariate Analysis	1
1	Stochastic Trend and Overview of Part I	3
2	Trend Stationarity vs. Difference Stationarity	16
3	Discrimination in Terms of the Long-Run Component: A Test for Trend Stationarity	28
4	Unit-Root Asymptotic Theories (I)	40
5	Regression Approach to the Test for Difference Stationarity (I)	47
6	Unit-Root Asymptotic Theories (II)	51
7	Regression Approach to the Test for Difference Stationarity (II)	63
8	Viewing the Discrimination as a Model Selection Problem Including Deterministic Trends	74
9	Results of the Model Selection Approach	90
10	Bayesian Discrimination	102
Pt. II	Co-Integration Analysis in Econometrics	115
11	Different Modelling Strategies on Multiple Relationships	120
12	Conceptual Framework of the Co-Integration and its Relation to Economic Theories	135
13	Asymptotic Inference Theories on Co-Integrated Regressions	164
14	Inference on Dynamic Econometric Models	204
15	Maximum-Likelihood Inference Theory of Co-Integrated VAR	219
	Appendix 1 Spectral Analysis	247
	Appendix 2 Wiener (Brownian Motion) Process	249
	Appendix 3 Asymptotic Theories involving a Linear Deterministic Trend	251
	Appendix 4 OLS Estimator of Difference-Stationary Autoregressive Process	258
	Appendix 5 Mathematics for the VAR, VMA, and VARMA	260
	Appendix 6 Fully Modified Least-Squares Estimator	265
	References	269
	Subject Index	289
	Author Index	291