Multivariate modelling of non-stationary economic time series:
Gespeichert in:
| Beteiligte Personen: | , , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
London
Palgrave Macmillan
[2017]
|
| Ausgabe: | [2nd edition] |
| Schriftenreihe: | Palgrave texts in econometrics
|
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029758521&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | xiii, 502 Seiten Diagramme |
| ISBN: | 9780230243309 9780230243316 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1819366111438700544 |
|---|---|
| adam_text | Contents
Introduction 1
References 16
Multivariate Time Series 21
2.1 Introduction 21
2.2 Stationarity 22
2.3 Multivariate Time Series Models 42
2.4 Persistence 49
2.5 Impulse Responses 54
2.6 Variance Decomposition 65
2.7 Conclusion 70
References 72
Cointegration 77
3.1 Cointegration of the VMA, VAR and VECM 79
3.2 The Smith-McMillan-Yoo Form 86
3.3 Johansens VAR Representation of
Cointegration 104
3.4 Cointegration with Intercept and Trend 116
3.5 Alternative Representations of the
Cointegrating VAR, VMA and VARMA 121
ix
131
142
143
145
145
147
147
159
162
175
189
198
199
205
206
217
240
247
255
274
276
281
281
282
288
Contents
3.6 Single Equation Implications and Examples
3.7 Conclusion
References
Testing for Cointegration: Standard
and Non-Standard Conditions
4.1 Introduction
4.2 Maximum Likelihood Estimation
4.3 Johansens Approach to Testing for
Cointegration in Systems
4.4 Performing Tests of Cointegrating Rank in
the Presence of Deterministic Components
4.5 Examples of Tests of Cointegration in VAR
Models
4.6 The VMA and VARMA Form
4.7 Quasi-Maximum Likelihood Estimator
(QMLE) and Non-Gaussianity
4.8 Conclusion
References
Structure and Evaluation
5.1 An Introduction to Exogeneity
5.2 Identification
5.3 Exogeneity and Identification
5.4 Impulse Response Functions
5.5 Forecasting in Cointegrated Systems
5.6 Conclusion
References
Testing in VECMs with Small Samples
6.1 Introduction
6.2 Testing for Cointegrating Rank in Finite
Samples
6.3 Testing Linear Restrictions on /8
6.4 An Empirical Application
6.5 Conclusion
References
Contents
XI
300
302
303
7 Heteroscedasticity and Multivariate Volatility 305
7.1 Introduction 305
7.2 VAR Models for Multivariate
Heteroscedasticity 307
7.3 Estimation of the Transformed Mean
Equation 319
7.4 The FWL Simplification to the Vectorized
System 322
7.5 Testing for Cointegration Using the GLS
Transformed Data 326
7.6 Dynamic Heteroscedasticity and Market
Imperfection 330
7.7 Conclusion 335
References 33 6
Models with Alternative Orders of Integration 339
8.1 Introduction 339
8.2 Cointegration Mixing 1(0) and /(1) Series 340
8.3 Some Examples 343
8.4 Inference and Estimation When Series Are
Not 7(1) 347
8.5 Modified Estimators and Fractional
Cointegration 365
8.6 Conclusion 378
References 380
The Structural Analysis of Time Series 383
9.1 Introduction 383
9.2 Cointegration and Models of Expectations 384
9.3 Singular Spectral Analysis 406
XII
Contents
9.4 Structural Time Series Models 415
9.5 Further Methods 422
9.6 Conclusion 430
References 432
Appendix A Matrix Preliminaries 441
A.l Elementary Row Operations and Elementary
Matrices 441
A, 2 Unimodular Matrices 443
Appendix B Matrix Algebra for Engle and Granger
(1987) Representation 445
B. l Determinant/Adjoint Representation of a
Polynomial Matrix 445
B.2 Expansions of the Determinant and Adjoint
About z G [0,1] 446
B.3 Drawing Out a Factor of z from a Reduced
Rank Matrix Polynomial 447
Appendix C Johansen’s Procedure as a Maximum
Likelihood Procedure 449
Appendix D The Maximum Likelihood Procedure
in Terms of Canonical Correlations 457
Appendix E Distribution Theory 461
E.l Some Univariate Theory 461
E.2 Vector Processes and Cointegration 464
E.3 Testing the Null Hypothesis of
Non-Cointegration 465
E.4 Testing a Null Hypothesis of Non-Zero Rank 467
E.5 Distribution Theory When There Are
Deterministic Trends in the Data 474
E.6 Other Issues 477
Contents
XIII
Appendix F Estimation Under General Restrictions 479
Appendix G Proof of Identification Based on an
Indirect Solution 483
Appendix H Generic Identification of Long-Run
Parameters in Sect. 5.3 487
Appendix I IRF MA Parameters for the Case in Sect. 5.4.3 489
References 491
Bibliography 493
Index 495
|
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| discipline | Wirtschaftswissenschaften |
| edition | [2nd edition] |
| format | Book |
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| id | DE-604.BV044355868 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T18:00:46Z |
| institution | BVB |
| isbn | 9780230243309 9780230243316 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029758521 |
| oclc_num | 1002226301 |
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| owner | DE-355 DE-BY-UBR |
| owner_facet | DE-355 DE-BY-UBR |
| physical | xiii, 502 Seiten Diagramme |
| publishDate | 2017 |
| publishDateSearch | 2017 |
| publishDateSort | 2017 |
| publisher | Palgrave Macmillan |
| record_format | marc |
| series2 | Palgrave texts in econometrics |
| spellingShingle | Hunter, John Burke, Simon P. Canepa, Alessandra Multivariate modelling of non-stationary economic time series Econometrics Economics Wirtschaft Multivariate Analyse (DE-588)4040708-1 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Nichtstationäre Zeitreihenanalyse (DE-588)4300599-8 gnd |
| subject_GND | (DE-588)4040708-1 (DE-588)4043212-9 (DE-588)4300599-8 |
| title | Multivariate modelling of non-stationary economic time series |
| title_auth | Multivariate modelling of non-stationary economic time series |
| title_exact_search | Multivariate modelling of non-stationary economic time series |
| title_full | Multivariate modelling of non-stationary economic time series John Hunter, Simon P. Burke, Alessandra Canepa |
| title_fullStr | Multivariate modelling of non-stationary economic time series John Hunter, Simon P. Burke, Alessandra Canepa |
| title_full_unstemmed | Multivariate modelling of non-stationary economic time series John Hunter, Simon P. Burke, Alessandra Canepa |
| title_short | Multivariate modelling of non-stationary economic time series |
| title_sort | multivariate modelling of non stationary economic time series |
| topic | Econometrics Economics Wirtschaft Multivariate Analyse (DE-588)4040708-1 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Nichtstationäre Zeitreihenanalyse (DE-588)4300599-8 gnd |
| topic_facet | Econometrics Economics Wirtschaft Multivariate Analyse Ökonometrisches Modell Nichtstationäre Zeitreihenanalyse |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029758521&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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