Modelling Non-Stationary Time Series : A Multivariate Approach

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Modelling Non-Stationary Time Series : A Multivariate Approach
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© Simon P. Burke and John Hunter 2005

1 Introduction: Cointegration, Economic Equilibrium and the Long Run

2 Properties of Univariate Time Series

3 Relationships Between Non-Stationary Time Series

4 Multivariate Time Series Approach to Cointegration

5 Exogeneity and Identification

6 Further Topics in the Analysis of Non-Stationary Time Series

7 Conclusions: Limitations, Developments and Alternatives

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关键词：Multivariate multivariat Time Series stationary Modelling Multivariate time Series Approach Modelling

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