Modelling non-stationary economic time series : a multivariate approach

Online-Ressource (VII, 253 S.)

Includes bibliographical references (p. 240-249) and index

Cover; Contents; Preface; 1 Introduction: Cointegration, Economic Equilibrium and the Long Run; 2 Properties of Univariate Time Series; 3 Relationships Between Non-Stationary Time Series; 4 Multivariate Time Series Approach to Cointegration; 5 Exogeneity and Identification; 6 Further Topics in the Analysis of Non-Stationary Time Series; 7 Conclusion: Limitations, Developments and Alternatives; Notes; Appendix A: Matrix Preliminaries; Appendix B: Matrix Algebra for Engle and Granger (1987) Representation; Appendix C: Johansen's Procedure as a Maximum Likelihood Procedure

Appendix D: The Maximum Likelihood Procedure in Terms of Canonical CorrelationsAppendix E: Distribution Theory; Appendix F: Estimation under General Restrictions; Appendix G: Proof of Identification based on an Indirect Solution; Appendix H: Generic Identification of Long-Run Parameters in Section 5.5; References; Index;

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