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portada Multivariate Modelling of Non-Stationary Economic Time Series (Palgrave Texts in Econometrics)
Type
Physical Book
Publisher
Author
Year
2017
Language
English
Pages
502
Format
Paperback
ISBN13
9780230243316
Edition No.
2
Categories

Multivariate Modelling of Non-Stationary Economic Time Series (Palgrave Texts in Econometrics)

John Hunter; Simon P. Burke; Alessandra Canepa (Author) · Palgrave Macmillan · Paperback

Multivariate Modelling of Non-Stationary Economic Time Series (Palgrave Texts in Econometrics) - John Hunter; Simon P. Burke; Alessandra Canepa

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Synopsis "Multivariate Modelling of Non-Stationary Economic Time Series (Palgrave Texts in Econometrics) "

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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