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Likelihood-Based Inference In Cointegrated Vector Autoregressive Models (Advanced Texts In Econometrics) - Brossura
Libro 9 di 26: Advanced Texts in Econometrics
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In this book, Professor Johansen, a leading statistician working in econometrics, gives a detailed mathematical and statistical analysis of the cointegrated vector autoregressive model, which has been gaining in popularity. The book is a self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. The theory is treated in detail to give the reader a working knowledge of the techniques involved, and many exercises are provided. The theoretical analysis is illustrated with the empirical analysis of two sets of economic data. The theory has been developed in close contact with the application and the methods have been implemented in the computer package C.A.T.S. in R.A.T.S. . About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
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Informazioni sull'autore
Soren Johansen is at the Institute of Mathematical Statistics, University of Copenhagen.
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics)
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Oxford University Press, 1995
ISBN 10: 0198774508
ISBN 13: 9780198774501
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics)
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Oxford University Press, 1996
ISBN 10: 0198774508
ISBN 13: 9780198774501
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics)
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Oxford University Press, 1995
ISBN 10: 0198774508
ISBN 13: 9780198774501
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics)
Editore:
Oxford University Press, 1996
ISBN 10: 0198774508
ISBN 13: 9780198774501
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics)
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Oxford University Press, U.S.A., 1995
ISBN 10: 0198774508
ISBN 13: 9780198774501
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Da: Anybook.com, Lincoln, Regno Unito
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (eng)
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Likelihood-Based Inference In Cointegrated Vector Autoregressive Models (Advanced Texts In Econometrics)
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Oxford University Press, U.S.A., 1996
ISBN 10: 0198774508
ISBN 13: 9780198774501
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Condizione: New. Professor Johansen gives a detailed mathematical and statistical analysis of the co-integrated vector autoregressive model in a self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. Many exercises are provided. Series: Advanced Texts in Econometrics. Num Pages: 280 pages, line figures, tables. BIC Classification: KCH; PBT; PDE; TBJ. Category: (P) Professional & Vocational. Dimension: 232 x 156 x 16. Weight in Grams: 416. . 1996. Illustrated. paperback. . . . . Codice articolo V9780198774501
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Paperback)
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Oxford University Press, Oxford, 1995
ISBN 10: 0198774508
ISBN 13: 9780198774501
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Paperback. Condizione: new. Paperback. This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had 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.Part I of the book is planned so that it can beused by those who want to apply the methods without going into too much detail about the probability theory. The main emphasis is on the derivation of estimators and test statistics through a consistentuse of the Guassian likelihood function. It is shown that many different models can be formulated within the framework of the autoregressive model and the interpretation of these models is discussed in detail. In particular, models involving restrictions on the cointegration vectors and the adjustment coefficients are discussed, as well as the role of the constant and linear drift.In Part II, the asymptotic theory is given the slightly more general framework of stationarylinear processes with i.i.d. innovations. Some useful mathematical tools are collected in Appendix A, and a brief summary of weak convergence in given in Appendix B.The book isintended to give a relatively self-contained 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.Many exercises are provided. The theoretical analysis is illustrated withthe empirical analysis of two sets of economic data. The theory has been developed in close contract with the application and the methods have been implemented in the computer package CATS in RATS asa result of a rcollaboation with Katarina Juselius and Henrik Hansen. A detailed mathematical and statistical analysis of the cointegrated vector autoregressive model. The book is a self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. This item is printed on demand. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability. Codice articolo 9780198774501
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