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Multivariate Modelling of Non-Stationary Economic Time Series

Multivariate Modelling of Non-Stationary Economic Time Series

Hardcover

Series: Palgrave Texts in Econometrics

EconomicsProbability & Statistics

ISBN10: 0230243304
ISBN13: 9780230243309
Publisher: Springer Nature
Published: May 17 2017
Pages: 502
Weight: 1.69
Height: 1.13 Width: 5.83 Depth: 8.27
Language: English
Chapter 1. Introduction: Time Series, Common Trends and Equilibrium.- Chapter 2. Multivariate Time Series.- Chapter 3. Cointegration.- Chapter 4. Testing for Cointegration: Under Standard and Non-Standard Conditions.- Chapter 5. Structure and Evaluation.- Chapter 6. Testing in VECMs with Small Sample.- Chapter 7. Heteroscedasticity and Multivariate Volatility.- Chapter 8. Models with Alternative Orders of Integration.- Chapter 9. The Structural Analysis of Time Series.

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