Multivariate Modelling of Non-Stationary Economic Time Series

• Κύριοι συγγραφείς: Hunter, John (Συγγραφέας), Burke, Simon P. (Συγγραφέας), Canepa, Alessandra (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: London : Palgrave Macmillan UK : Imprint: Palgrave Macmillan, 2017.
• Έκδοση: 2nd ed. 2017.
• Σειρά: Palgrave Texts in Econometrics
• Θέματα: Econometrics.; Economics.

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...

Πίνακας περιεχομένων:

• 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.