Multivariate Modelling of Non-Stationary Economic Time Series (Hardcover, 2nd ed. 2017)

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.

General

Imprint:	Palgrave Macmillan
Country of origin:	United Kingdom
Series:	Palgrave Texts in Econometrics
Release date:	May 2017
First published:	2017
Authors:	John Hunter • Simon P. Burke • Alessandra Canepa
Dimensions:	210 x 148 x 29mm (L x W x T)
Format:	Hardcover
Pages:	502
Edition:	2nd ed. 2017
ISBN-13:	978-0-230-24330-9
Categories:	Books > Business & Economics > Economics > Econometrics > General
LSN:	0-230-24330-4
Barcode:	9780230243309

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