£141.24

MACMILLAN Palgrave Multivariate Modelling of Non-Stationary Economic Time Series

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Description

Master the complexities of economic data with this specialized text from the Palgrave Texts in Econometrics series. This book provides a deep look into conventional time series analysis, beginning with stationary data before moving into the critical study of cointegration and multivariate models. Readers will find an extensive examination of impulse responses and forecasting techniques across both stationary and non-stationary contexts. The text addresses important technical aspects such as small sample correction, volatility, and the effects of different orders of integration. Beyond standard models, this volume explores models with expectations and presents alternative methodologies including Singular Spectrum Analysis (SSA), the Kalman Filter, and Structural Time Series. It is a comprehensive resource for understanding how these methods relate to cointegration in modern economic research.

Key Features

Covers both stationary and non-stationary data environments to provide a complete understanding of time series analysis.

Offers a detailed study of impulse responses and forecasting methods for diverse economic datasets.

Examines technical variables including volatility, small sample correction, and different orders of integration.

Includes advanced methodologies such as Singular Spectrum Analysis (SSA) and the Kalman Filter.

Provides specialized insight into models with expectations and their relationship to cointegration.

Explores Structural Time Series as an alternative method for analyzing economic trends.

Product Specifications

Format
hardcover
Domain
Amazon UK
Release Date
17 May 2017
Listed Since
16 July 2016

Barcode

No barcode data available

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