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Modelling Non-Stationary Economic Time Series: A Multivariate Approach by S. Bur

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US $134.36
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Item specifics

Condition
New: A new, unread, unused book in perfect condition with no missing or damaged pages. See the ...
ISBN-13
9781403902023
Book Title
Modelling Non-Stationary Economic Time Series
ISBN
9781403902023
Subject Area
Mathematics, Business & Economics
Publication Name
Modelling Non-Stationary Economic Time Series : a Multivariate Approach
Publisher
Palgrave Macmillan The Limited
Item Length
3.7 in
Subject
Econometrics, Probability & Statistics / Time Series, Statistics
Publication Year
2005
Series
Palgrave Texts in Econometrics Ser.
Type
Textbook
Format
Hardcover
Language
English
Item Height
0.3 in
Author
Simon P. Burke, John. Hunter
Features
Revised
Item Weight
19.5 Oz
Item Width
6.3 in
Number of Pages
VII, 253 Pages

About this product

Product Identifiers

Publisher
Palgrave Macmillan The Limited
ISBN-10
140390202X
ISBN-13
9781403902023
eBay Product ID (ePID)
7038589790

Product Key Features

Number of Pages
VII, 253 Pages
Publication Name
Modelling Non-Stationary Economic Time Series : a Multivariate Approach
Language
English
Subject
Econometrics, Probability & Statistics / Time Series, Statistics
Publication Year
2005
Features
Revised
Type
Textbook
Subject Area
Mathematics, Business & Economics
Author
Simon P. Burke, John. Hunter
Series
Palgrave Texts in Econometrics Ser.
Format
Hardcover

Dimensions

Item Height
0.3 in
Item Weight
19.5 Oz
Item Length
3.7 in
Item Width
6.3 in

Additional Product Features

Intended Audience
Scholarly & Professional
LCCN
2004-056896
Dewey Edition
22
Number of Volumes
1 vol.
Illustrated
Yes
Dewey Decimal
330/.01/51955
Edition Description
Revised edition
Table Of Content
PART 1: INTRODUCTION: COINTEGRATION, ECONOMIC EQUILIBRIUM AND THE LONG RUN PART 2: UNIVARIATE AND SINGLE EQUATION METHODS Introduction Non-Stationarity Univariate Statistical Time Series Models and Non-Stationarity Testing for Non-Stationarity in Single Series Conclusion PART 3: RELATIONSHIPS BETWEEN NON-STATIONARITY TIME SERIES Introduction Equilibrium and Equilibrium Correction Cointegration and Equilibrium Regression Amongst Cointegrated Variables Conclusion PART 4: MULTIVARIATE TIME SERIES APPROACH TO COINTEGRATION Introduction The VMA, the VAR and the VECM VAR - Based Tests of Cointegration The Smith-McMillan-Yoo Form Johansen's VAR Representation of Cointegration Johansen's Approach to Testing for Cointegration in Systems Tests of Cointegration in VAR Models Alternative Representations PART 5: EXOGENEITY AND IDENTIFICATION An Introduction to Exogeneity Identification Exogeneity and Identification Empirical Examples Conclusion PART 6: FURTHER TOPICS IN THE ANALYSIS OF NON-STATIONARY TIME SERIES Introduction Inference and Estimation When Series Are Not I(1) Forecasting in Cointegrated Systems Models with Short-Run Dynamics Induced by Expectations Conclusion PART 7: CONCLUSION Approximation Alternative Methods Structural Breaks Last Comments Notes Appendices References Index
Synopsis
Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems. This book provides direction and guidance to the now vast literature facing students and graduate economists. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural breaks associated with regime changes and what to do when variables are of different orders of integration.
LC Classification Number
HB139-141

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United States
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