Modelling Non-Stationary Time Series: A Multivariate Approach

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 a...

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Bibliographic Details
Main Authors: Burke, Simon P. (Author), Hunter, John (Author)
Format: Electronic eBook
Language:English
Published: London Palgrave Macmillan UK 2005
Subjects:
Online Access:DE-12
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DE-1043
DE-M347
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DE-898
DE-1049
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DE-91
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Summary: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
Physical Description:1 Online-Ressource (VII, 253 Seiten)
ISBN:9780230005785
DOI:10.1057/9780230005785

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