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Advanced Unit Roots and Cointegration with R: A Practical Guide to Time Series Econometrics
Paperback
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ISBN13: 9798268927535
Publisher: Independently Published
Published: Oct 8 2025
Pages: 218
Weight: 0.66
Height: 0.46 Width: 6.00 Depth: 9.00
Language: English
Publisher: Independently Published
Published: Oct 8 2025
Pages: 218
Weight: 0.66
Height: 0.46 Width: 6.00 Depth: 9.00
Language: English
Advanced Unit Roots and Cointegration with R: A Practical Guide to Time Series Econometrics offers a clear and rigorous exploration of nonstationary time series analysis using modern R tools. Designed for researchers, graduate students, and applied econometricians, this guide moves beyond textbook theory to provide reproducible examples, robust workflows, and interpretation of complex results.
Readers will learn how to conduct and interpret advanced tests for unit roots, seasonal stationarity, and structural breaks; estimate long-run equilibrium relationships via Engle-Granger and Johansen methods; and apply vector error correction models (VECM) to real economic data. Each chapter integrates step-by-step R code, visual diagnostics, and practical case studies, ensuring a strong balance between econometric intuition and hands-on data analysis.
Whether you're refining your academic research or improving model specification in applied policy or finance, this book will help you master the subtleties of dynamic systems and long-run relationships in time series econometrics.
Whether you're refining your academic research or improving model specification in applied policy or finance, this book will help you master the subtleties of dynamic systems and long-run relationships in time series econometrics.
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