Modelling non-stationary economic time series : a multivariate approach / Simon P. Burke and John Hunter.
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...
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| Online Access: |
Full Text (via ProQuest) |
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| Main Author: | |
| Format: | eBook |
| Language: | English |
| Published: |
Houndmills, Basingstoke, Hampshire ; New York :
Palgrave Macmillan,
2005.
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| Series: | Palgrave texts in econometrics.
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| Subjects: |
MARC
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| 245 | 1 | 0 | |a Modelling non-stationary economic time series : |b a multivariate approach / |c Simon P. Burke and John Hunter. |
| 260 | |a Houndmills, Basingstoke, Hampshire ; |a New York : |b Palgrave Macmillan, |c 2005. | ||
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| 505 | 0 | |a 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. | |
| 504 | |a Includes bibliographical references (pages 240-249) and index. | ||
| 520 | |a 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. | ||
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