Multivariate Modelling of Non-Stationary Economic Time Series
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...
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Main Authors: | , , |
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Corporate Author: | |
Format: | Electronic eBook |
Language: | English |
Published: |
London :
Palgrave Macmillan UK : Imprint: Palgrave Macmillan,
2017.
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Edition: | 2nd ed. 2017. |
Series: | Palgrave texts in econometrics.
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Subjects: | |
Online Access: |
Full text (Wentworth users only) |
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.