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

Johansen, Søren

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

About 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.

Edition details

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