Multivariate Modelling of Non-Stationary Economic Time Series by John Hunter, Simon P. Burke, Alessandra Canepa.

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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Bibliographic Details
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.
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.

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