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Multivariate Modelling of Non-Stationary Economic Time SeriesThe Structural Analysis of Time Series

Multivariate Modelling of Non-Stationary Economic Time Series: The Structural Analysis of Time... [In this chapter a number of what might be variously considered as structural models are considered. In the first case cointegrating relations with expectations are dealt with in terms of what may be viewed as regular solutions to the standard saddle point problem for a linear quadratic adjustment costs (LQAC) model.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

Multivariate Modelling of Non-Stationary Economic Time SeriesThe Structural Analysis of Time Series

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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
383 –439
DOI
10.1057/978-1-137-31303-4_9
Publisher site
See Chapter on Publisher Site

Abstract

[In this chapter a number of what might be variously considered as structural models are considered. In the first case cointegrating relations with expectations are dealt with in terms of what may be viewed as regular solutions to the standard saddle point problem for a linear quadratic adjustment costs (LQAC) model.]

Published: May 10, 2017

Keywords: Kalman Filter; Unit Root; Exogenous Variable; Rational Expectation; Multivariate Time Series

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