Pocket • 2017 • 1. utgave

Multivariate Modelling of Non-Stationary Economic Time Series

Name: Multivariate Modelling of Non-Stationary Economic Time Series
SKU: 9780230243316
Availability: OutOfStock
ISBN: 9780230243316

Av John Hunter, Simon P. Burke, Alessandra Canepa

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Om boken

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...Vis mer

Om boken

ISBN

9780230243316

Forlag

Palgrave Macmillan

Publiseringsår

2017

Språk

Utgave

Originaltittel

Multivariate Modelling of Non-Stationary Economic Time Series

Format

Pocket

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