Modelling Non-Stationary Economic Time Series : A Multivariate Approach / by S. Burke, J. Hunter.

Format:

Book

Author/Creator:

Burke, Simon P.

Series:

Palgrave Texts in Econometrics, 2662-6608

Language:

English

Subjects (All):

Econometrics.

Statistics.

Statistics in Business, Management, Economics, Finance, Insurance.

Quantitative Economics.

Local Subjects:

Econometrics.

Statistics in Business, Management, Economics, Finance, Insurance.

Quantitative Economics.

Physical Description:

1 online resource (VII, 253 p.)

Edition:

1st ed. 2005.

Place of Publication:

London : Palgrave Macmillan UK : Imprint: Palgrave Macmillan, 2005.

Language Note:

English

Summary:

Co-integration, 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.

Contents:

Cover

Contents

Preface

1 Introduction: Cointegration, Economic Equilibrium and the Long Run

2 Properties of Univariate Time Series

3 Relationships Between Non-Stationary Time Series

4 Multivariate Time Series Approach to Cointegration

5 Exogeneity and Identification

6 Further Topics in the Analysis of Non-Stationary Time Series

7 Conclusion: Limitations, Developments and Alternatives

Notes

Appendix A: Matrix Preliminaries

Appendix B: Matrix Algebra for Engle and Granger (1987) Representation

Appendix C: Johansen's Procedure as a Maximum Likelihood Procedure

Appendix D: The Maximum Likelihood Procedure in Terms of Canonical Correlations

Appendix E: Distribution Theory

Appendix F: Estimation under General Restrictions

Appendix G: Proof of Identification based on an Indirect Solution

Appendix H: Generic Identification of Long-Run Parameters in Section 5.5

References

Index.

Notes:

Bibliographic Level Mode of Issuance: Monograph

Includes bibliographical references (p. 240-249) and index.

ISBN:

9786610282722

9781403902023

140390202X

9781280282720

128028272X

9780230005785

0230005780

OCLC:

314880517