Modelling Non-Stationary Time Series

A Multivariate Approach

  • Authors
  • Simon P. Burke
  • John Hunter
Book

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

Table of contents

  1. Front Matter
    Pages i-vii
  2. Simon P. Burke, John Hunter
    Pages 8-37
  3. Simon P. Burke, John Hunter
    Pages 38-68
  4. Simon P. Burke, John Hunter
    Pages 69-127
  5. Simon P. Burke, John Hunter
    Pages 128-158
  6. Simon P. Burke, John Hunter
    Pages 159-199
  7. Simon P. Burke, John Hunter
    Pages 200-202
  8. Back Matter
    Pages 203-253

About this book

Introduction

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.

Keywords

cointegration dynamics econometrics equilibrium forecasting integration modeling regression time series value at risk value-at-risk

Bibliographic information

  • DOI https://doi.org/10.1057/9780230005785
  • Copyright Information Palgrave Macmillan, a division of Macmillan Publishers Limited 2005
  • Publisher Name Palgrave Macmillan, London
  • eBook Packages Palgrave Economics & Finance Collection
  • Print ISBN 978-1-4039-0203-0
  • Online ISBN 978-0-230-00578-5
  • About this book
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