Multivariate Modelling of Non-Stationary Economic Time SeriesAuthor :
Paperback
Published : Wednesday 7 June 2017
You may also like ...
by
Hardback
15 Sep 2015
>>
€11.69
Extended stock – Dispatch 5-7 days
by
Hardback
22 Jun 2016
>>
€29.25
Extended stock – Dispatch 5-7 days
by
Paperback
04 Nov 2010
>>
€19.88
Extended stock – Dispatch 5-7 days
by
Paperback
07 Jun 2017
>>
€64.34
Extended stock – Dispatch 5-7 days
Description
This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models.
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.
Reviews