Modelling Non-Stationary Economic Time Series: A Multivariate Approach

✍ Scribed by Simon P. Burke, John Hunter

• Publisher: Palgrave Macmillan
• Year: 2005
• Tongue: English
• Leaves: 263
• Series: Palgrave Texts in Econometrics
• Category: Library

✦ 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.

✦ Table of Contents

Cover......Page 1
Contents......Page 6
Preface......Page 8
1 Introduction: Cointegration, Economic Equilibrium and the Long Run......Page 10
2 Properties of Univariate Time Series......Page 17
3 Relationships Between Non-Stationary Time Series......Page 47
4 Multivariate Time Series Approach to Cointegration......Page 78
5 Exogeneity and Identification......Page 137
6 Further Topics in the Analysis of Non-Stationary Time Series......Page 168
7 Conclusion: Limitations, Developments and Alternatives......Page 209
Notes......Page 212
Appendix A: Matrix Preliminaries......Page 224
Appendix B: Matrix Algebra for Engle and Granger (1987) Representation......Page 226
Appendix C: Johansen’s Procedure as a Maximum Likelihood Procedure......Page 228
Appendix D: The Maximum Likelihood Procedure in Terms of Canonical Correlations......Page 232
Appendix E: Distribution Theory......Page 234
Appendix F: Estimation under General Restrictions......Page 244
Appendix G: Proof of Identification based on an Indirect Solution......Page 246
Appendix H: Generic Identification of Long-Run Parameters in Section 5.5......Page 248
References......Page 249
Index......Page 259

✦ Subjects

Математика;Теория вероятностей и математическая статистика;Теория случайных процессов;