Multivariate Modelling Of Non-stationary Economic Time Series by John HunterMultivariate Modelling Of Non-stationary Economic Time Series by John Hunter

Multivariate Modelling Of Non-stationary Economic Time Series

byJohn Hunter, Simon P. Burke, Alessandra Canepa

Hardcover | May 17, 2017

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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.

Simon P. Burke studied econometrics at the University of Reading, UK. He has published in theInternational Journal of Forecasting,Journal of Financial EconometricsandThe Oxford Bulletin of Economics & Statistics. He has taught econometrics, mathematics and statistics at Reading and Surrey Universities.John Hunter studied econometrics a...
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Title:Multivariate Modelling Of Non-stationary Economic Time SeriesFormat:HardcoverDimensions:502 pagesPublished:May 17, 2017Publisher:Palgrave MacmillanLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0230243304

ISBN - 13:9780230243309

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Table of Contents

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.