Multivariate Modelling of Non-Stationary Economic Time Series / by John Hunter, Simon P. Burke, Alessandra Canepa.

This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models. The authors provide a detailed and extensive study of impulse responses and forecasting in the stationary and non-stationary context, considering...

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Online Access: Full Text (via Springer)
Main Authors: Hunter, John (Author), Burke, Simon P. (Author), Canepa, Alessandra (Author)
Format: eBook
Language:English
Published: London : Palgrave Macmillan UK : Imprint : Palgrave Macmillan, 2017.
Edition:2nd ed. 2017.
Series:Palgrave texts in econometrics.
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Call Number: HB139-141
HB139-141 Available