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Multivariate Modelling of Non-Stationary Economic Time SeriesStructure and Evaluation

Multivariate Modelling of Non-Stationary Economic Time Series: Structure and Evaluation [In this chapter, we consider the question of long-run exogeneity and the related issue of identification. In our opinion, detection of the exogenous variables in the long run or the short run is a precursor to any attempt to structurally identify economic or financial phenomena.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

Multivariate Modelling of Non-Stationary Economic Time SeriesStructure and Evaluation

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Publisher
Palgrave Macmillan UK
Copyright
© The Editor(s) (if applicable) and The Author(s) 2017. The author(s) has/have asserted their right(s) to be identified as the author(s) of this work in accordance with the Copyright, Designs and Patents Act 1988.
ISBN
978-0-230-24330-9
Pages
205 –279
DOI
10.1057/978-1-137-31303-4_5
Publisher site
See Chapter on Publisher Site

Abstract

[In this chapter, we consider the question of long-run exogeneity and the related issue of identification. In our opinion, detection of the exogenous variables in the long run or the short run is a precursor to any attempt to structurally identify economic or financial phenomena.]

Published: May 10, 2017

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