Multivariate Modelling of Non-Stationary Economic Time Series

• Main Authors: Hunter, John (Author), Burke, Simon P. (Author), Canepa, Alessandra (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: London : Palgrave Macmillan UK : Imprint: Palgrave Macmillan, 2017.
• Edition: 2nd ed. 2017.
• Series: Palgrave Texts in Econometrics
• Subjects: 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...

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.