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Modelling Non-Stationary Time Series: A Multivariate Approach

โœ Scribed by Simon P. Burke, John Hunter (auth.)

Publisher
Palgrave Macmillan UK
Year
2005
Tongue
English
Leaves
261
Series
Palgrave Texts in Econometrics
Edition
1
Category
Library
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โœฆ 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.

โœฆ Table of Contents

Front Matter....Pages i-vii
Introduction: Cointegration, Economic Equilibrium and the Long Run....Pages 1-7
Properties of Univariate Time Series....Pages 8-37
Relationships Between Non-Stationary Time Series....Pages 38-68
Multivariate Time Series Approach to Cointegration....Pages 69-127
Exogeneity and Identification....Pages 128-158
Further Topics in the Analysis of Non-Stationary Time Series....Pages 159-199
Conclusion: Limitations, Developments and Alternatives....Pages 200-202
Back Matter....Pages 203-253

โœฆ Subjects

Econometrics; Statistics for Business/Economics/Mathematical Finance/Insurance; Economic Theory/Quantitative Economics/Mathematical Methods

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