Multivariate Modelling of Non-Stationary Economic Time Series

By Simon P. Burke, Alessandra Canepa, John Hunter

Book Overview

Chapter 1. Introduction: Time Series, Common Trends and Equilibrium.- Chapter 2. Multivariate Time Series.- Chapter 3. Cointegration.- Chapter 4. Testing for Cointegration: Under Standard and Non-Standard Conditions.- Chapter 5. Structure and Evaluation.- Chapter 6. Testing in VECMs with Small Sample.- Chapter 7. Heteroscedasticity and Multivariate Volatility.- Chapter 8. Models with Alternative Orders of Integration.- Chapter 9. The Structural Analysis of Time Series.

• Format: Hardcover
• Language: English
• ISBN: 0230243304
• ISBN13: 9780230243309
• Release Date: May 2017
• Publisher: Palgrave MacMillan
• Length: 502 Pages
• Weight: 1.69 lbs.
• Dimensions: 1.1" x 5.8" x 8.3"