Multivariate Modelling of Non-Stationary Economic Time Series 2nd ed. 2017 Edition by John Hunter PDF

Multivariate Modelling of Non-Stationary Economic Time Series 2nd ed. 2017 Edition by John Hunter PDF

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Title: Multivariate Modelling of Non-Stationary Economic Time Series 2nd Edition

Book Title Multivariate Modelling of Non-Stationary Economic Time Series 2nd ed. 2017 Edition by John Hunter PDF
Type ETextbook

Title: Multivariate Modelling of Non-Stationary Economic Time Series 2nd Edition

ISBN-13: 978-0230243309
ISBN-10: 0230243304

Author: John Hunter and Simon P. Burke

 

E-Book: Digital version only, No Access Card/ Code.
Format: Searchable PDF, can print physical copy.
Duration: No expiry date, Use forever.
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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.

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