Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of

A comprehensive review of unit roots, cointegration and structural change from a best-selling author.

A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or st

This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegrat

This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series,