Multivariate Modelling of Non-Stationary Economic Time Series

1. Introduction
John Hunter, Simon P. Burke, Alessandra Canepa

2. Multivariate Time Series
John Hunter, Simon P. Burke, Alessandra Canepa

3. Cointegration
John Hunter, Simon P. Burke, Alessandra Canepa

4. Testing for Cointegration: Standard and Non-Standard Conditions
John Hunter, Simon P. Burke, Alessandra Canepa

5. Structure and Evaluation
John Hunter, Simon P. Burke, Alessandra Canepa

6. Testing in VECMs with Small Samples
John Hunter, Simon P. Burke, Alessandra Canepa

7. Heteroscedasticity and Multivariate Volatility
John Hunter, Simon P. Burke, Alessandra Canepa

8. Models with Alternative Orders of Integration
John Hunter, Simon P. Burke, Alessandra Canepa

9. The Structural Analysis of Time Series
John Hunter, Simon P. Burke, Alessandra Canepa

Avainsanat: Economics, Econometrics