New Developments in Time Series Econometrics (Paperback, Softcover Repri)

New Developments in Time Series Econometrics: An Overview.- Modelling of Multivariate Economic Time Series.- Usefulness of Linear Transformations in Multivariate Time-Series Analysis.- VAR Modelling and Haavelmo's Probability Approach to Macroeconomic Modelling.- Inference in Expectations Models of the Term Structure: A Non-parametric Approach.- Adjustment Costs and Time-To-Build in Factor Demand in the U.S Manufacturing Industry.- Structural Change Analysis.- Parameter Constancy in Cointegrating Regressions.- The HUMP-Shaped Behavior of Macroeconomic Fluctuations.- The Sources of the U.S. Money Demand Instability.- Seasonality, Cointegration and Fractional Integration.- On the (Mis)Specification of Seasonality and its Consequences: An Empirical Investigation with US Data.- Seasonal Cointegration, Common Seasonals, and Forecasting Seasonal Series.- A Note on Johansen's Cointegration Procedure when Trends are Present.- Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models.