Palgrave Texts in Econometrics

Hunter, John; Burke, Simon P.; Canepa, Alessandra

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.

Details

Published by: Palgrave Macmillan

Publication Date: 2017-05-17

Format: Hardcover

ISBN-13: 9780230243309

DOI: 10.1057/978-1-137-31303-4

Dimensions: 210cm x148cm

Pages: 502