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

No coin nor oath required. For personal study only.

✦ 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.

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