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© 2026 Bookis AS
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© 2026 Bookis AS
English
Paperback • 2017 • 1. edition
By John Hunter, Simon P. Burke, Alessandra Canepa
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About the book
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), t...Show more
Book details
ISBN
9780230243316
Publisher
Palgrave Macmillan
Published year
2017
Language
Edition
1
Original title
Multivariate Modelling of Non-Stationary Economic Time Series
Format
Paperback
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