Inference in Cointegrated VAR Models : Bootstrap Methods and Applications
Language: English
Published by LAP LAMBERT Academic Publishing, 2010
- Softcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
AbeBooks seller since August 14, 2006
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Add to basketItem description from seller
nach der Bestellung gedruckt Neuware - Printed after ordering - Obtaining reliable inference procedures is one of the main challenges of econometric research. Test statistics are usually based on applications of the central limit theorem. However, in order to work well the first order asymptotic approximation requires that the asymptotic distribution is an accurate approximation to the finite sample distribution. When dealing with time series models, this is not generally the case. In this book we investigate the small sample performance of various bootstrap based inference procedures when applied to vector autoregressive models. Special attention is given to Johansen's maximum likelihood method for conducting inference on cointegrated VAR models. Throughout the book, empirical applications are provided to illustrate the bootstrap method and its applications. The analysis should provide some guidance to practitioners in doubt about which inference procedure to use when dealing with cointegrated VAR models.…
Seller Inventory # 9783838314693
- Title
- Inference in Cointegrated VAR Models : Bootstrap Methods and Applications
- Author
- Alessandra Canepa
- Publisher
- LAP LAMBERT Academic Publishing
- Publication year
- 2010
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3838314697
- ISBN 13
- 9783838314693
- Item weight
- 274 grams
- Dimensions
- 220x150x11 mm
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