Multivariate Modelling of Non-Stationary Economic Time Series
Softcover reprint of the original 2nd ed. 2017
Book Details
Format
Paperback / Softback
Book Series
Palgrave Texts in Econometrics
ISBN-10
0230243312
ISBN-13
9780230243316
Edition
Softcover reprint of the original 2nd ed. 2017
Publisher
Palgrave Macmillan
Imprint
Palgrave Macmillan
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Aug 24th, 2017
Print length
502 Pages
Weight
668 grams
Dimensions
15.00 x 21.00 x 3.20 cms
Product Classification:
EconometricsEconometrics and economic statistics
Ksh 9,900.00
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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.
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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