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Examples
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The analysis of integrated and cointegrated time series can be considered as the main methodology employed in applied econometrics. This book not only introduces the reader to this topic but enables him to conduct the various unit root tests and cointegration methods on his own by utilising the free statistical programming environment R. The book encompasses seasonal unit roots, fractional integration, coping with structural breaks and inference in cointegrated vector autoregressive models as well. The book is enriched by numerous programming examples to artificial and real data such that it is ideally suited as an accompanying text book to computer lab classes.
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Preface
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Contents
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Chapter 2
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Examples of the first edition
Examples of the second edition

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First edition:

• Schlittgen, Rainer (2006), "Bernhard Pfaff Analysis of Integrated and Cointegrated Time Series with R", Allgemeines Statistisches Archiv , Vol. 90(3), 486-487.
• O'Brian, C.M. (2006), "Analysis of Integrated and Cointegrated Time Series with R", Publication of the International Statistical Institute, Short Book Reviews, editor: Herzberg, A.M., Vol. 26(2).
• Harvill, J.L. (2007), "Analysis of Integrated and Cointegrated Time Series with R", JASA, 102(477), 389-90.
• Reviews of the Week, 26, November 16, 2007, "Bernhard Pfaff Analysis of Integrated and Cointegrated Time Series with R", reprinted from Journal of Applied Statistics, October 2007.

• Eddelbuettel, D. (2009), "Analysis of Integrated and Cointegrated Time Series with R (2nd Edition)", Journal of Statistical Software, 30(5), 1-2, URL: http://www.jstatsoft.org/v30/b05.
• Scott, D.J. (2009), "Analysis of Integrated and Cointegrated Time Series with R, Second Edition", International Statistical Review, 77(1), 164-165.

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• Table 3.3 on page 49:
  In table header it should read: "5%" instead of "5&".
• First paragraph, first sentence on page 49:
  It should read: "cannot be rejected" instead of "has to be rejected".
• Table 4.15 on page 69:
  critical values for 1% and 10% should be interchanged.
• Formula 7.1 on page 97:
  It should read Δ y_t = ... instead of y_t = ...

• Formula (3.5) on page 55:
  It should on the right hand side of the formula: ε_s.
• R Code 4.2 on page 77:
  Line 8 should read as: error.lagged <- error[-c(1, 100)]
• Formula 8.1 on page 129:
  It should read Δ y_t = ... instead of y_t = ...

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