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Multivariate Modelling of Non-Stationary Economic Time Series

  • John Hunter
  • Simon P. Burke
  • Alessandra Canepa

Part of the Palgrave Texts in Econometrics book series (PTEC)

Table of contents

  1. Front Matter
    Pages i-xiii
  2. John Hunter, Simon P. Burke, Alessandra Canepa
    Pages 1-19
  3. John Hunter, Simon P. Burke, Alessandra Canepa
    Pages 21-75
  4. John Hunter, Simon P. Burke, Alessandra Canepa
    Pages 77-144
  5. John Hunter, Simon P. Burke, Alessandra Canepa
    Pages 145-204
  6. John Hunter, Simon P. Burke, Alessandra Canepa
    Pages 205-279
  7. John Hunter, Simon P. Burke, Alessandra Canepa
    Pages 281-304
  8. John Hunter, Simon P. Burke, Alessandra Canepa
    Pages 305-338
  9. John Hunter, Simon P. Burke, Alessandra Canepa
    Pages 339-382
  10. John Hunter, Simon P. Burke, Alessandra Canepa
    Pages 383-439
  11. Back Matter
    Pages 441-502

About this book

Introduction

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.

Keywords

econometrics economics modelling stationary data conventional time series impulse responses small sample correction volatililty integration Singular Spectrum Analysis (SSA) Kalman Filter Structural Time Series cointegration

Authors and affiliations

  • John Hunter
    • 1
  • Simon P. Burke
    • 2
  • Alessandra Canepa
    • 3
  1. 1.Department of Economics and FinanceBrunel UniversityUxbridgeUnited Kingdom
  2. 2.Department of EconomicsUniversity of ReadingReadingUnited Kingdom
  3. 3.Department of Economics and FinanceBrunel UniversityUxbridgeUnited Kingdom

Bibliographic information

  • DOI https://doi.org/10.1057/978-1-137-31303-4
  • Copyright Information The Editor(s) (if applicable) and The Author(s) 2017
  • Publisher Name Palgrave Macmillan, London
  • eBook Packages Economics and Finance
  • Print ISBN 978-0-230-24330-9
  • Online ISBN 978-1-137-31303-4
  • Buy this book on publisher's site