Modelling Non-Stationary Economic Time Series

1. Front Matter

   Pages i-vii

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2. Introduction: Cointegration, Economic Equilibrium and the Long Run

   • Simon P. Burke, John Hunter

   Pages 1-7

3. Properties of Univariate Time Series

   • Simon P. Burke, John Hunter

   Pages 8-37

4. Relationships Between Non-Stationary Time Series

   • Simon P. Burke, John Hunter

   Pages 38-68

5. Multivariate Time Series Approach to Cointegration

   • Simon P. Burke, John Hunter

   Pages 69-127

6. Exogeneity and Identification

   • Simon P. Burke, John Hunter

   Pages 128-158

7. Further Topics in the Analysis of Non-Stationary Time Series

   • Simon P. Burke, John Hunter

   Pages 159-199

8. Conclusion: Limitations, Developments and Alternatives

   • Simon P. Burke, John Hunter

   Pages 200-202

9. Back Matter

   Pages 203-253

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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.

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

SIMON P. BURKE is a Lecturer in Economics at the University of Reading, UK. His research interests include Time Series Econometrics and Computational Econometrics.

JOHN HUNTER is Lecturer in Economics at Brunel University, UK. His research interests include Multivariate Time Series, Exogeneity, Econometric Identification and Simulation, Classification, Specification and Testing of Discrete Data using Neural Networks, Semi-Parametric and Parametric Methods.

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