Modelling non-stationary economic time series : a multivariate approach / / Simon P. Burke and John Hunter
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| Autore: |
Burke Simon P
|
| Titolo: |
Modelling non-stationary economic time series : a multivariate approach / / Simon P. Burke and John Hunter
|
| Pubblicazione: | New York, : Palgrave Macmillan, 2005 |
| Edizione: | 1st ed. 2005. |
| Descrizione fisica: | 1 online resource (VII, 253 p.) |
| Disciplina: | 330/.01/51955 |
| Soggetto topico: | Econometric models |
| Time-series analysis | |
| Note generali: | Bibliographic Level Mode of Issuance: Monograph |
| Nota di bibliografia: | Includes bibliographical references (p. 240-249) and index. |
| Nota di contenuto: | 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. |
| Sommario/riassunto: | 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. |
| Titolo autorizzato: | Modelling non-stationary economic time series |
| ISBN: | 1-4039-0202-X |
| 9786610282722 | |
| 1-280-28272-X | |
| 0-230-00578-0 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910825844503321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Palgrave texts in econometrics.