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Multivariate Modelling of Non-Stationary Economic Time SeriesModels with Alternative Orders of Integration

Multivariate Modelling of Non-Stationary Economic Time Series: Models with Alternative Orders of... [In this chapter three further topics are considered in some detail: models where the orders of integration of the series are not the same, estimation of models with I(2) variables, and models where the order of integration is fractional.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

Multivariate Modelling of Non-Stationary Economic Time SeriesModels with Alternative Orders of Integration

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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
339 –382
DOI
10.1057/978-1-137-31303-4_8
Publisher site
See Chapter on Publisher Site

Abstract

[In this chapter three further topics are considered in some detail: models where the orders of integration of the series are not the same, estimation of models with I(2) variables, and models where the order of integration is fractional.]

Published: May 10, 2017

Keywords: Unit Root; Quadratic Trend; Normalization Rule; Cointegrating Vector; Fractional Cointegration

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