rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Multivariate Modelling of Non-Stationary Economic Time Series
  name:
    name part: Hunter, John.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Burke, Simon P.
    role:
      role term: author.
  name:
    name part: Canepa, Alessandra.
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: xxk
    date issued: 2017
    edition: 2nd ed. 2017.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XIII, 502 p. online resource.
  abstract: 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.
  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.
  note: by John Hunter, Simon P. Burke, Alessandra Canepa.
  subject:
    topic: Econometrics
  subject:
    topic: Economics
  subject:
    topic: Econometrics
  classification: HB139-141
  classification: 330.015195
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Palgrave Texts in Econometrics
  identifier: 9781137313034
  identifier: http://dx.doi.org/10.1057/978-1-137-31303-4
  record info:
    record creation date: 170509
    record change date: 20170509111711.0
    record identifier: 978-1-137-31303-4