Modelling non-stationary economic time series : a multivariate approach /

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

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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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Bibliographic Details
Online Access: Full Text (via ProQuest)
Main Author: Burke, Simon P.
Format: eBook
Language:English
Published: Houndmills, Basingstoke, Hampshire ; New York : Palgrave Macmillan, 2005.
Series:Palgrave texts in econometrics.
Subjects:
Econometric models.
Time-series analysis.
Table of 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.

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