1 - 7 of 7 Chapters
[The econometrician or statistician might be viewed as a forensic scientist, trying to detect from the splatter (of blood), a line through space from which it may be determined, how and by whom a crime was committed. The tools available to calculate and describe this evidence are estimators and...
[This chapter introduces a number of concepts in the analysis of univariate time series that are important for an understanding of non-stationarity in the multivariate case. The fundamental building block is the autocorrelation structure of a time series. This describes the way in which current...
[The previous chapter dealt with the properties of univariate time series, and in particular non-stationarity as characterized by the autoregressive unit root. This chapter develops the theme by looking at the way in which this type of non-stationarity can be modelled as a common feature such...
[This chapter considers the case where there are a number of non-stationary series driven by common processes. It was shown in the previous chapter that the underlying behaviour of time series may arise from a range of different time series processes. Time series models separate into...
[In this chapter, we consider the question of long-run exogeneity and the related issue of identification. In the authors’ opinion, detection of the exogenous variables in either the long run or the short run is a precursor to any attempt to structurally identify economic or financial phenomena.]
[In this chapter three further topics are considered in some detail: estimation of models with I(2) variables; forecasting; and structural models with short-run behaviour driven by expectations. Though mathematically the notions of order of integration and cointegration are exact, in practice...
[Many economic theories, especially those in macroeconomics, are theories of the way in which economic processes interact with one another to provide a stable set of underlying equilibrium relationships. Failure to observe equilibrium is strong evidence against the theory predicting its existence.]
Read and print from thousands of top scholarly journals.
Continue with Facebook
Log in with Microsoft
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Sign Up Log In
To subscribe to email alerts, please log in first, or sign up for a DeepDyve account if you don’t already have one.
To get new article updates from a journal on your personalized homepage, please log in first, or sign up for a DeepDyve account if you don’t already have one.