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Multivariate Modelling of Non-Stationary Economic Time Series / by John Hunter, Simon P. Burke, Alessandra Canepa.

Hunter, John, author.; Burke, Simon P., author.; Canepa, Alessandra, author.
2017
HB139-141
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Title
Multivariate Modelling of Non-Stationary Economic Time Series / by John Hunter, Simon P. Burke, Alessandra Canepa.
Author
Hunter, John, author.
Edition
2nd ed. 2017.
ISBN
9781137313034
113731303X
0230243304
9780230243309
DOI
https://doi.org/10.1057/978-1-137-31303-4
Published
London : Palgrave Macmillan UK : Imprint : Palgrave Macmillan, 2017.
Language
English
Description
1 online resource (xiii, 502 pages)
Item Number
10.1057/978-1-137-31303-4 doi
Call Number
HB139-141
Dewey Decimal Classification
330.015195
Summary
This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models. The authors provide a detailed and extensive study of impulse responses and forecasting in the stationary and non-stationary context, considering small sample correction, volatility and the impact of different orders of integration. Models with expectations are considered along with alternate methods such as Singular Spectrum Analysis (SSA), the Kalman Filter and Structural Time Series, all in relation to cointegration. Using single equations methods to develop topics, and as examples of the notion of cointegration, Burke, Hunter, and Canepa provide direction and guidance to the now vast literature facing students and graduate economists.
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Access limited to authorized users.
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text file PDF
Added Author
Burke, Simon P., author.
Canepa, Alessandra, author.
Series
Palgrave texts in econometrics.
Available in Other Form
Print version: 9780230243309
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Chapter 1. Introduction: Time Series, Common Trends and Equilibrium
Chapter 2. Multivariate Time Series
Chapter 3. Cointegration
Chapter 4. Testing for Cointegration: Under Standard and Non-Standard Conditions
Chapter 5. Structure and Evaluation
Chapter 6. Testing in VECMs with Small Sample
Chapter 7. Heteroscedasticity and Multivariate Volatility
Chapter 8. Models with Alternative Orders of Integration
Chapter 9. The Structural Analysis of Time Series.

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