LEADER 03852nam 22007935 450 001 9910960574103321 005 20250609110941.0 010 $a9786610282722 010 $a9781403902023 010 $a140390202X 010 $a9781280282720 010 $a128028272X 010 $a9780230005785 010 $a0230005780 024 7 $a10.1057/9780230005785 035 $a(CKB)1000000000239725 035 $a(SSID)ssj0000204073 035 $a(PQKBManifestationID)11168560 035 $a(PQKBTitleCode)TC0000204073 035 $a(PQKBWorkID)10188156 035 $a(PQKB)11044372 035 $a(DE-He213)978-0-230-00578-5 035 $a(MiAaPQ)EBC343793 035 $a(Au-PeEL)EBL343793 035 $a(CaPaEBR)ebr10103739 035 $a(CaONFJC)MIL28272 035 $a(OCoLC)314880517 035 $a(Perlego)3479435 035 $a(MiAaPQ)EBC4323376 035 $a(EXLCZ)991000000000239725 100 $a20151126d2005 u| 0 101 0 $aeng 135 $aurnn|008mamaa 181 $ctxt 182 $cc 183 $acr 200 10$aModelling Non-Stationary Economic Time Series $eA Multivariate Approach /$fby S. Burke, J. Hunter 205 $a1st ed. 2005. 210 1$aLondon :$cPalgrave Macmillan UK :$cImprint: Palgrave Macmillan,$d2005. 215 $a1 online resource (VII, 253 p.) 225 1 $aPalgrave Texts in Econometrics,$x2662-6608 300 $aBibliographic Level Mode of Issuance: Monograph 311 08$a9781403902023 311 08$a140390202X 311 08$a9781403902030 311 08$a1403902038 320 $aIncludes bibliographical references (p. 240-249) and index. 327 $aCover -- 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. 330 $aCo-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems. This book provides direction and guidance to the now vast literature facing students and graduate economists. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural breaks associated with regime changes and what to do when variables are of different orders of integration. 410 0$aPalgrave Texts in Econometrics,$x2662-6608 606 $aEconometrics 606 $aStatistics 606 $aEconometrics 606 $aStatistics in Business, Management, Economics, Finance, Insurance 606 $aQuantitative Economics 615 0$aEconometrics. 615 0$aStatistics. 615 14$aEconometrics. 615 24$aStatistics in Business, Management, Economics, Finance, Insurance. 615 24$aQuantitative Economics. 676 $a330/.01/51955 700 $aBurke$b Simon P$0498430 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910960574103321 996 $aModelling Non-Stationary Economic Time Series$94327809 997 $aUNINA