The Resource Modelling non-stationary economic time series : a multivariate approach, Simon P. Burke and John Hunter

Modelling non-stationary economic time series : a multivariate approach, Simon P. Burke and John Hunter

Label
Modelling non-stationary economic time series : a multivariate approach
Title
Modelling non-stationary economic time series
Title remainder
a multivariate approach
Statement of responsibility
Simon P. Burke and John Hunter
Creator
Contributor
Subject
Language
eng
Summary
Cointegration, 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
Member of
Cataloging source
UKPGM
Dewey number
330/.01/51955
Illustrations
illustrations
Index
index present
LC call number
HB141
LC item number
.B866 2005eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
Palgrave texts in econometrics
Label
Modelling non-stationary economic time series : a multivariate approach, Simon P. Burke and John Hunter
Publication
Bibliography note
Includes bibliographical references (pages 240-249) and index
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
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
Control code
ocn314880517
Dimensions
unknown
Extent
1 online resource (vii, 253 pages)
Form of item
online
Isbn
9781403902030
Lccn
2004056896
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1057/9780230005785
Other physical details
illustrations
http://library.link/vocab/ext/overdrive/overdriveId
276040
http://library.link/vocab/recordID
.b23272235
Specific material designation
remote
System control number
  • (OCoLC)314880517
  • pebcs0230005780

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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