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101 0 $aeng
135   $aurnn|008mamaa
181   $ctxt$2rdacontent
182   $cc$2rdamedia
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200 10$aMultivariate Modelling of Non-Stationary Economic Time Series$b[electronic resource] /$fby John Hunter, Simon P. Burke, Alessandra Canepa
205   $a2nd ed. 2017.
210  1$aLondon :$cPalgrave Macmillan UK :$cImprint: Palgrave Macmillan,$d2017.
215   $a1 online resource (XIII, 502 p.) 
225 1 $aPalgrave Texts in Econometrics,$x2662-6594
311   $a0-230-24330-4 
320   $aIncludes bibliographical references and index.
327   $aChapter 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.
330   $aThis book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models. The authors provide a detailed and extensive study of impulse responses and forecasting in the stationary and non-stationary context, considering small sample correction, volatility and the impact of different orders of integration. Models with expectations are considered along with alternate methods such as Singular Spectrum Analysis (SSA), the Kalman Filter and Structural Time Series, all in relation to cointegration. Using single equations methods to develop topics, and as examples of the notion of cointegration, Burke, Hunter, and Canepa provide direction and guidance to the now vast literature facing students and graduate economists.
410  0$aPalgrave Texts in Econometrics,$x2662-6594
606   $aEconometrics
606   $aEconometrics$3https://scigraph.springernature.com/ontologies/product-market-codes/W29010
615  0$aEconometrics.
615 14$aEconometrics.
676   $a330.015195
700   $aHunter$b John$4aut$4http://id.loc.gov/vocabulary/relators/aut$0424730
702   $aBurke$b Simon P$4aut$4http://id.loc.gov/vocabulary/relators/aut
702   $aCanepa$b Alessandra$4aut$4http://id.loc.gov/vocabulary/relators/aut
906   $aBOOK
912   $a9910255030003321
996   $aMultivariate Modelling of Non-Stationary Economic Time Series$91942939
997   $aUNINA