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

Libro 9 di 26: Advanced Texts in Econometrics

Johansen, Søren

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

Sinossi

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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Editore
Oxford University Press, U.S.A.
Data di pubblicazione
1996
Lingua
Inglese
ISBN 10 
0198774508
ISBN 13 
9780198774501
Rilegatura
Copertina flessibile
Numero di pagine
288
Contatto del produttore
Messaggerie Libri
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Altre edizioni note dello stesso titolo

9780198774495: Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Edizione in evidenza

ISBN 10:  0198774494 ISBN 13:  9780198774495
Casa editrice: Oxford Univ Pr, 1995
Rilegato