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Multivariate Modelling of Non-Stationary Economic Time Series 2nd Edition John Hunter

Name: Multivariate Modelling of Non-Stationary Economic Time Series 2nd Edition John Hunter
SKU: EB-5887228
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Multivariate Modelling of Non-Stationary Economic Time Series 2nd Edition John Hunter Digital Instant Download

Author(s): John Hunter, Simon P. Burke, Alessandra Canepa (auth.)

ISBN(s): 9780230243309, 9781137313034, 0230243304, 113731303X

Edition: 2

File Details: PDF, 5.30 MB

Year: 2017

Language: English

SKU: EB-5887228 Category: Business & Economics Tags: Alessandra Canepa (auth.), John Hunter, Simon P. Burke

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ISBN-10 ‏ : ‎ 0230243304
ISBN-13 ‏ : ‎ 978-0230243309
Author: John Hunter (Author), Simon P. Burke (Author), Alessandra Canepa (Author)

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.

Table of contents:

1 Introduction

2 Multivariate Time Series

3 Cointegration

4 Testing for Cointegration: Standard and Non-Standard Conditions

5 Structure and Evaluation

6 Testing in VECMs with Small Samples

7 Heteroscedasticity and Multivariate Volatility

8 Models with Alternative Orders of Integration

9 The Structural Analysis of Time Series

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