Placeholder text

Go to cart

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

By Søren Johansen

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models Contemporary literature

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

0 - Used - good
Description
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.
Product details
Binding:
Paperback
Edition:
illustrated
Number of Pages:
284
Release Date:
1996-02-01
Publication Date:
1995-12-28
Publisher:
OUP Oxford
Languages:
Original: English
ISBN10:
0198774508
ISBN13:
9780198774501
GPSR Manufacturer Reference:
[email protected]
Weight:
436 g
Height:
156 cm
Width:
234 cm
Thickness:
15 cm
Buy on Amazon
Currently sold out