Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics) Paperback - 1996 - 1st Edition
by Johansen, Søren
From the rear cover
This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregressive model. This model has gained popularity because it can at the same time capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series. It also allows relevant economic questions to be formulated in a consistent statistical framework. The book is intended to give a relatively self-containing presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. The asymptotic theory requires some familiarity with the theory of weak convergence of stochastic processes. The theory is treated in detail with the purpose of giving the reader a working knowledge of the techniques involved.
Details
- Title Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics)
- Author Johansen, Søren
- Binding Paperback
- Edition number 1st
- Edition 1
- Pages 280
- Language ENG
- Publisher Oxford University Press
- Date 1996-02
- Features Bibliography, Illustrated, Index
- ISBN 9780198774501
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