Description: Multivariate Modelling of Non-Stationary Economic Time Series, Paperback by Hunter, John; Burke, Simon P.; Canepa, Alessandra, ISBN 0230243312, ISBN-13 9780230243316, Like New Used, Free shipping in the US
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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Book Title: Multivariate Modelling of Non-Stationary Economic Time Series
Number of Pages: Xiii, 502 Pages
Language: English
Publication Name: Mod Non Stat Ec Time Series
Publisher: Palgrave Macmillan The Limited
Subject: Probability & Statistics / Multivariate Analysis, Econometrics
Publication Year: 2017
Item Weight: 23.6 Oz
Type: Textbook
Item Length: 8.3 in
Author: Burke S.; Hunter J. Et Al
Subject Area: Mathematics, Business & Economics
Item Width: 5.8 in
Series: Palgrave Texts in Econometrics Ser.
Format: Trade Paperback
