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Synopsis
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.
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À propos de l?auteur
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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Multivariate Modelling of Non-Stationary Economic Time Series (Palgrave Texts in Econometrics)
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Palgrave Macmillan, 2017
ISBN 10 : 0230243312
ISBN 13 : 9780230243316
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Multivariate Modelling of Non-Stationary Economic Time Series (Palgrave Texts in Econometrics)
Edité par
Palgrave Macmillan, 2017
ISBN 10 : 0230243312
ISBN 13 : 9780230243316
Neuf
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Multivariate Modelling of Non-Stationary Economic Time Series (Palgrave Texts in Econometrics)
Edité par
Palgrave Macmillan, 2017
ISBN 10 : 0230243312
ISBN 13 : 9780230243316
Neuf
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Vendeur : Biblios, Frankfurt am main, HESSE, Allemagne
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Etat : New. pp. 256. N° de réf. du vendeur 18375157302
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Multivariate Modelling of Non-Stationary Economic Time Series (Palgrave Texts in Econometrics)
Edité par
Palgrave Macmillan, 2017
ISBN 10 : 0230243312
ISBN 13 : 9780230243316
Neuf
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Vendeur : Lucky's Textbooks, Dallas, TX, Etats-Unis
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Multivariate Modelling of Non-Stationary Economic Time Series (Palgrave Texts in Econometrics)
Edité par
Palgrave Macmillan, 2017
ISBN 10 : 0230243312
ISBN 13 : 9780230243316
Ancien ou d'occasion
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Etat : Good. This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,750grams, ISBN:9780230243316. N° de réf. du vendeur 5832765
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Multivariate Modelling of Non-Stationary Economic Time Series (Paperback)
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Palgrave Macmillan, Basingstoke, 2017
ISBN 10 : 0230243312
ISBN 13 : 9780230243316
Neuf
Paperback
Vendeur : Grand Eagle Retail, Bensenville, IL, Etats-Unis
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Paperback. Etat : new. Paperback. 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. N° de réf. du vendeur 9780230243316
Quantité disponible : 1 disponible(s)
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Multivariate Modelling of Non-Stationary Economic Time Series (Palgrave Texts in Econometrics)
Edité par
Palgrave Macmillan, 2017
ISBN 10 : 0230243312
ISBN 13 : 9780230243316
Neuf
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Vendeur : Ria Christie Collections, Uxbridge, Royaume-Uni
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Etat : New. In English. N° de réf. du vendeur ria9780230243316_new
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Multivariate Modelling of Non-Stationary Economic Time Series
Vendeur : Chiron Media, Wallingford, Royaume-Uni
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PF. Etat : New. N° de réf. du vendeur 6666-IUK-9780230243316
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Multivariate Modelling of Non-Stationary Economic Time Series
Edité par
Palgrave Macmillan UK Aug 2017, 2017
ISBN 10 : 0230243312
ISBN 13 : 9780230243316
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
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Taschenbuch. Etat : 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. N° de réf. du vendeur 9780230243316
Quantité disponible : 2 disponible(s)
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Multivariate Modelling of Non-Stationary Economic Time Series
Edité par
Palgrave Macmillan, 2017
ISBN 10 : 0230243312
ISBN 13 : 9780230243316
Neuf
Couverture souple
Vendeur : Kennys Bookshop and Art Galleries Ltd., Galway, GY, Irlande
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Etat : New. Series: Palgrave Texts in Econometrics. Num Pages: 256 pages, biography. BIC Classification: KCH. Category: (P) Professional & Vocational. Dimension: 210 x 148. . . 2017. Softcover reprint of the original 2nd ed. 2017. Paperback. . . . . N° de réf. du vendeur V9780230243316
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