Téléchargez le livre : Multivariate Modelling of Non-Stationary Economic Time Series

Multivariate Modelling of Non-Stationary Economic Time Series

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Éditeur :

Palgrave Macmillan


Collection :

Palgrave Texts in Econometrics

Paru le : 2017-05-08

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Description

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 small sample correction, volatility and the impact of different orders of integration. Models with expectations are considered along with alternate methods such as Singular Spectrum Analysis (SSA), the Kalman Filter and Structural Time Series, all in relation to cointegration. Using single equations methods to develop topics, and as examples of the notion of cointegration, Burke, Hunter, and Canepa provide direction and guidance to the now vast literature facing students and graduate economists.
Pages
502 pages
Collection
Palgrave Texts in Econometrics
Parution
2017-05-08
Marque
Palgrave Macmillan
EAN papier
9780230243309
EAN PDF
9781137313034
Informations sur l'ebook
Nombre pages copiables
5
Nombre pages imprimables
50
Taille du fichier
5550 Ko
Prix
63,29 €
EAN EPUB
9781137313034
Informations sur l'ebook
Nombre pages copiables
5
Nombre pages imprimables
50
Taille du fichier
3594 Ko
Prix
63,29 €

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