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Palgrave Texts in Econometrics

Multivariate Modelling of Non-Stationary Economic Time Series

Authors: Hunter, John, Burke, Simon, Canepa, Alessandra

    • Focuses on the multivariate nature of the problem of modelling non-stationary economic time series
    • Handles recent developments in Time Series Analysis
    • Has relevance for aspects of regulation and competition policy

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eBook $39.99
price for USA (gross)
  • ISBN 978-1-137-31303-4
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $229.00
price for USA
  • ISBN 978-0-230-24330-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $49.99
price for USA
  • ISBN 978-0-230-24331-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

About the authors

Simon P. Burke studied econometrics at the University of Reading, UK. He has published in the International Journal of Forecasting, Journal of Financial Econometrics and The Oxford Bulletin of Economics & Statistics. He has taught econometrics, mathematics and statistics at Reading and Surrey Universities.

John Hunter studied econometrics at the London School of Economics, UK, under Denis Sargan. He published recently in the International Review of Financial Analysis, Economic Modelling and developed the notion of Cointegrating Exogeneity. He taught econometrics and financial modelling at Brunel, City, Queen Mary, Southampton and Surrey. He has consulted for HM Treasury, Oftel, OFT and KPN Mobile.

Alessandra Canepa studied econometrics at Southampton University, UK. She has published in Statistics & Probability Letters, the European Journal of Operational Research and Oxford Economic Papers. She currently lectures in econometrics and Risk Management at Brunel University, UK, and is a member of CARISMA in the Department of Mathematics at Brunel.

 

Table of contents (9 chapters)

  • Introduction

    Hunter, John (et al.)

    Pages 1-19

  • Multivariate Time Series

    Hunter, John (et al.)

    Pages 21-75

  • Cointegration

    Hunter, John (et al.)

    Pages 77-144

  • Testing for Cointegration: Standard and Non-Standard Conditions

    Hunter, John (et al.)

    Pages 145-204

  • Structure and Evaluation

    Hunter, John (et al.)

    Pages 205-279

Buy this book

eBook $39.99
price for USA (gross)
  • ISBN 978-1-137-31303-4
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $229.00
price for USA
  • ISBN 978-0-230-24330-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $49.99
price for USA
  • ISBN 978-0-230-24331-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Multivariate Modelling of Non-Stationary Economic Time Series
Authors
Series Title
Palgrave Texts in Econometrics
Copyright
2017
Publisher
Palgrave Macmillan UK
Copyright Holder
The Editor(s) (if applicable) and The Author(s)
eBook ISBN
978-1-137-31303-4
DOI
10.1057/978-1-137-31303-4
Hardcover ISBN
978-0-230-24330-9
Softcover ISBN
978-0-230-24331-6
Edition Number
2
Number of Pages
XIII, 502
Topics