03852nam 22007935 450 991096057410332120250609110941.097866102827229781403902023140390202X9781280282720128028272X9780230005785023000578010.1057/9780230005785(CKB)1000000000239725(SSID)ssj0000204073(PQKBManifestationID)11168560(PQKBTitleCode)TC0000204073(PQKBWorkID)10188156(PQKB)11044372(DE-He213)978-0-230-00578-5(MiAaPQ)EBC343793(Au-PeEL)EBL343793(CaPaEBR)ebr10103739(CaONFJC)MIL28272(OCoLC)314880517(Perlego)3479435(MiAaPQ)EBC4323376(EXLCZ)99100000000023972520151126d2005 u| 0engurnn|008mamaatxtccrModelling Non-Stationary Economic Time Series A Multivariate Approach /by S. Burke, J. Hunter1st ed. 2005.London :Palgrave Macmillan UK :Imprint: Palgrave Macmillan,2005.1 online resource (VII, 253 p.) Palgrave Texts in Econometrics,2662-6608Bibliographic Level Mode of Issuance: Monograph9781403902023 140390202X 9781403902030 1403902038 Includes bibliographical references (p. 240-249) and index.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.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.Palgrave Texts in Econometrics,2662-6608EconometricsStatisticsEconometricsStatistics in Business, Management, Economics, Finance, InsuranceQuantitative EconomicsEconometrics.Statistics.Econometrics.Statistics in Business, Management, Economics, Finance, Insurance.Quantitative Economics.330/.01/51955Burke Simon P498430MiAaPQMiAaPQMiAaPQBOOK9910960574103321Modelling Non-Stationary Economic Time Series4327809UNINA