Multivariate Modelling of Non-Stationary Economic Time Series. (2017)

• Record Type: Book
• Other Names: (Lecturer in econometrics), Hunter, John; Burke, Simon P; Canepa, Alessandra
• Contents: Preface; Contents; 1 Introduction; References; 2 Multivariate Time Series; 2.1 Introduction; 2.2 Stationarity; 2.2.1 Strict Stationarity; 2.2.2 Strict (Joint Distribution) Stationarity; 2.2.3 Describing Covariance Non-Stationarity: Parametric Models; 2.2.4 The White Noise Process; 2.2.4.1 White Noise; 2.2.5 The Moving Average Process; 2.2.6 Wold's Representation Theorem; 2.2.7 The Autoregressive Process; 2.2.8 Lag Polynomials and Their Roots; 2.2.8.1 The Lag Operator and Lag Polynomials; 2.2.9 Non-Stationarity and the Autoregressive Process; 2.2.9.1 Stationarity of an Autoregressive Process. 2.2.10 The Random Walk and the Unit Root2.2.10.1 The Random Walk Process; 2.2.10.2 Differencing and Stationarity; 2.2.10.3 The Random Walk as a Stochastic Trend; 2.2.10.4 The Random Walk with Drift; 2.2.11 The Autoregressive Moving Average Process and Operator Inversion; 2.2.11.1 Illustration of Operator Inversion; 2.2.12 Testing Stationarity in Single Series; 2.2.12.1 Reparameterizing the Autoregressive Model; 2.2.12.2 Semi-parametric Methods; 2.3 Multivariate Time Series Models; 2.3.1 The VAR and VECM Models; 2.3.2 The VMA Model; 2.3.3 Estimation; 2.3.4 The Procedure; 2.4 Persistence. 2.4.1 Reparameterizing the VAR2.4.2 Long-Run Growth Models; 2.5 Impulse Responses; 2.5.1 Impulse Responses and VAR Models; 2.5.2 Orthogonality and the IRF; 2.5.3 The Choleski Decomposition; 2.5.4 IRFs in the General VAR Case; 2.5.4.1 IRFs and Time Series Identification; 2.6 Variance Decomposition; 2.6.1 Prediction Errors and Forecasts; 2.7 Conclusion; References; 3 Cointegration; 3.1 Cointegration of the VMA, VAR and VECM; 3.1.1 The Granger Representation Theorem: Systems Representation of Cointegrated Variables; 3.1.1.1 Cointegration Starting from a VMA and Deriving VAR and VECM Forms. 3.1.2 VARMA Representation of CI(1, 1) Variables3.2 The Smith-McMillan-Yoo Form; 3.2.1 Using the Smith Form to Reparameterize a Finite Order VMA; 3.2.1.1 Reparameterizing a VMA in Differences; 3.2.2 The SM Form in General Applied to a Rational VMA: The SMY Form; 3.2.2.1 The SMY Form and Cointegration of Order (1, 1); 3.2.3 Cointegrating Vectors in the VMA and VAR Representations of CI(1, 1); 3.2.3.1 A(L) as Partial Inverse of C(L) in the CI(1, 1) Case; 3.2.4 Equivalence of VAR and VMA Representations in the CI(1, 1) Case; 3.3 Johansen's VAR Representation of Cointegration. 3.3.1 Cointegration Assuming Integration of Order 13.3.1.1 Cointegrated VARs with I(1) Processes; 3.3.2 Conditions for the VAR Process to be I(1) and Cointegrated; 3.3.2.1 Discussion; 3.3.3 The MA Representation; 3.4 Cointegration with Intercept and Trend; 3.4.1 Levels Process for the VECM with Intercept; 3.4.2 Levels Process for the VECM with Higher Order Trends and Other Deterministic Terms; 3.5 Alternative Representations of the Cointegrating VAR, VMA and VARMA; 3.5.1 The Sargan-Bézout Factorization; 3.5.2 A VAR(1) Representation of a VMA(1) Model Under Cointegration.
• Publisher Details: London : Palgrave Macmillan UK
• Publication Date: 2017
• Extent: 1 online resource (508 pages)
• Subjects: 330/.01/51955; Economics; Econometric models; Time-series analysis; BUSINESS & ECONOMICS -- Economics -- General; BUSINESS & ECONOMICS -- Reference; Econometric models; Time-series analysis; Management science; Econometrics; Business & Economics -- Econometrics; Econometrics; Electronic books
• Languages: English
• ISBNs: 9781137313034
• Related ISBNs: 113731303X; 0230243304; 9780230243309
• Notes: Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.