Multivariate Modelling of Non-Stationary Economic Time Series
Hunter, John; Burke, Simon P.; Canepa, Alessandra
ISBN 10: 0230243304 ISBN 13: 9780230243309
Editore: Palgrave Macmillan, 2017
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Unread book in perfect condition. Codice articolo 27015119
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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.
Informazioni sull?autore:
Simon P. Burke studied econometrics at the University of Reading, UK. He has published in the International Journal of Forecasting, Journal of Financial Econometrics and The Oxford Bulletin of Economics & Statistics. He has taught econometrics, mathematics and statistics at Reading and Surrey Universities.
John Hunter studied econometrics at the London School of Economics, UK, under Denis Sargan. He published recently in the International Review of Financial Analysis, Economic Modelling and developed the notion of Cointegrating Exogeneity. He taught econometrics and financial modelling at Brunel, City, Queen Mary, Southampton and Surrey. He has consulted for HM Treasury, Oftel, OFT and KPN Mobile.
Alessandra Canepa studied econometrics at Southampton University, UK. She has published in Statistics & Probability Letters, the European Journal of Operational Research and Oxford Economic Papers. She currently lectures in econometrics and Risk Management at Brunel University, UK, and is a member of CARISMA in the Department of Mathematics at Brunel.
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Titolo: Multivariate Modelling of Non-Stationary ...
Casa editrice: Palgrave Macmillan
Data di pubblicazione: 2017
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Multivariate Modelling of Non-Stationary Economic Time Series
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Focuses on the multivariate nature of the problem of modelling non-stationary economic time seriesHandles recent developments in Time Series AnalysisHas relevance for aspects of regulation and competition policySim. Codice articolo 127653507
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Multivariate Modelling of Non-Stationary Economic Time Series (Palgrave Texts in Econometrics)
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Multivariate Modelling of Non-Stationary Economic Time Series
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Palgrave Macmillan UK, Palgrave Macmillan UK Mai 2017, 2017
ISBN 10: 0230243304
ISBN 13: 9780230243309
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Buch. Condizione: Neu. Neuware -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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 516 pp. Englisch. Codice articolo 9780230243309
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Multivariate Modelling of Non-Stationary Economic Time Series
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ISBN 13: 9780230243309
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Buch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 516 pp. Englisch. Codice articolo 9780230243309
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Multivariate Modelling of Non-Stationary Economic Time Series
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Buch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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. Codice articolo 9780230243309
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Multivariate Modelling of Non-Stationary Economic Time Series (Palgrave Texts in Econometrics)
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Condizione: New. Series: Palgrave Texts in Econometrics. Num Pages: 256 pages, biography. BIC Classification: KCH. Category: (P) Professional & Vocational. Dimension: 210 x 148. . . 2017. 2 Rev ed. Hardback. . . . . Codice articolo V9780230243309
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ISBN 13: 9780230243309
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Hardcover. Condizione: new. Hardcover. 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. This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Codice articolo 9780230243309
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