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Likelihood-Based Inference In Cointegrated Vector Autoregressive Models (Advanced Texts In Econometrics) - Softcover

Book 9 of 26: Advanced Texts in Econometrics

Johansen, Søren

 
9780198774501: Likelihood-Based Inference In Cointegrated Vector Autoregressive Models (Advanced Texts In Econometrics)
Softcover
ISBN 10: 0198774508 ISBN 13: 9780198774501
Publisher: Oxford University Press, U.S.A., 1996

Synopsis

A self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods

"synopsis" may belong to another edition of this title.

About the Author

Soren Johansen is at the Institute of Mathematical Statistics, University of Copenhagen.

From the Back 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.

"About this title" may belong to another edition of this title.

Publisher
Oxford University Press, U.S.A.
Publication date
1996
Language
English
ISBN 10 
0198774508
ISBN 13 
9780198774501
Binding
Paperback
Number of pages
288