02991nam 22004575 450 991025503000332120200705005334.01-137-31303-X10.1057/978-1-137-31303-4(CKB)3710000001363102(DE-He213)978-1-137-31303-4(MiAaPQ)EBC4856765(EXLCZ)99371000000136310220170509d2017 u| 0engurnn|008mamaatxtrdacontentcrdamediacrrdacarrierMultivariate Modelling of Non-Stationary Economic Time Series[electronic resource] /by John Hunter, Simon P. Burke, Alessandra Canepa2nd ed. 2017.London :Palgrave Macmillan UK :Imprint: Palgrave Macmillan,2017.1 online resource (XIII, 502 p.) Palgrave Texts in Econometrics,2662-65940-230-24330-4 Includes bibliographical references and index.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.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.Palgrave Texts in Econometrics,2662-6594EconometricsEconometricshttps://scigraph.springernature.com/ontologies/product-market-codes/W29010Econometrics.Econometrics.330.015195Hunter Johnauthttp://id.loc.gov/vocabulary/relators/aut424730Burke Simon Pauthttp://id.loc.gov/vocabulary/relators/autCanepa Alessandraauthttp://id.loc.gov/vocabulary/relators/autBOOK9910255030003321Multivariate Modelling of Non-Stationary Economic Time Series1942939UNINA