Modelling Non-Stationary Economic Time Series: A Multivariate Approach (Palgrave Texts in Econometrics)

Cover......Page 1
Contents......Page 6
Preface......Page 8
1 Introduction: Cointegration, Economic Equilibrium and the Long Run......Page 10
2 Properties of Univariate Time Series......Page 17
3 Relationships Between Non-Stationary Time Series......Page 47
4 Multivariate Time Series Approach to Cointegration......Page 78
5 Exogeneity and Identification......Page 137
6 Further Topics in the Analysis of Non-Stationary Time Series......Page 168
7 Conclusion: Limitations, Developments and Alternatives......Page 209
Notes......Page 212
Appendix A: Matrix Preliminaries......Page 224
Appendix B: Matrix Algebra for Engle and Granger (1987) Representation......Page 226
Appendix C: Johansen’s Procedure as a Maximum Likelihood Procedure......Page 228
Appendix D: The Maximum Likelihood Procedure in Terms of Canonical Correlations......Page 232
Appendix E: Distribution Theory......Page 234
Appendix F: Estimation under General Restrictions......Page 244
Appendix G: Proof of Identification based on an Indirect Solution......Page 246
Appendix H: Generic Identification of Long-Run Parameters in Section 5.5......Page 248
References......Page 249
Index......Page 259