Screen LibraryModelling non-stationary economic time series A multivariate approach /
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| Published: |
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| Literature type: | Electronic Software eBook |
| Language: | English |
| Series: |
Palgrave texts in econometrics s. |
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| Online Access: |
http://www.palgraveconnect.com/doifinder/10.1057/9780230005785 |
| Item Description: |
Ebook. Originally published in: 2005. |
| Carrier Form: | 264 p. |
| ISBN: |
9781403902023 9780230005785 : 0230005780 : |
| CLC: | F0 |
| Contents: | PART 1: INTRODUCTION: COINTEGRATION, ECONOMIC EQUILIBRIUM AND THE LONG RUN PART 2: UNIVARIATE AND SINGLE EQUATION METHODS Introduction Non-Stationarity Univariate Statistical Time Series Models and Non-Stationarity Testing for Non-Stationarity in Single Series Conclusion PART 3: RELATIONSHIPS BETWEEN NON-STATIONARITY TIME SERIES Introduction Equilibrium and Equilibrium Correction Cointegration and Equilibrium Regression Amongst Cointegrated Variables Conclusion PART 4: MULTIVARIATE TIME SERIES APPROACH TO COINTEGRATION Introduction The VMA, the VAR and the VECM VAR - Based Tests of Cointegration The Smith-McMillan-Yoo Form Johansen's VAR Representation of Cointegration Johansen's Approach to Testing for Cointegration in Systems Tests of Cointegration in VAR Models Alternative Representations PART 5: EXOGENEITY AND IDENTIFICATION An Introduction to Exogeneity Identification Exogeneity and Identification Empirical Examples Conclusion PART 6: FURTHER TOPICS IN THE ANALYSIS OF NON-STATIONARY TIME SERIES Introduction Inference and Estimation When Series Are Not I(1) Forecasting in Cointegrated Systems Models with Short-Run Dynamics Induced by Expectations Conclusion PART 7: CONCLUSION Approximation Alternative Methods Structural Breaks Last Comments Notes Appendices References Index. |