Multivariate Modelling of Non-Stationary Economic Time Series (Palgrave Texts in Econometrics) - Image 1

£51.37

MACMILLAN Multivariate Modelling of Non-Stationary Economic Time Series (Palgrave Texts in Econometrics)

Name: Multivariate Modelling of Non-Stationary Economic Time Series (Palgrave Texts in Econometrics)
Brand: MACMILLAN
Price: 51.37 GBP
Availability: InStock

Econometrics

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Description

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.

Product Specifications

Brand: MACMILLAN
Format: paperback
ASIN: 0230243312
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 24 August 2017
Listed Since: 16 July 2016

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MACMILLAN Multivariate Modelling of Non-Stationary Economic Time Series (Palgrave Texts in Econometrics)

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