The Cointegrated VAR Model: Methodology and Applications

Valutazione media 1
( su 1 valutazioni fornite da GoodReads )
 
9780199285679: The Cointegrated VAR Model: Methodology and Applications

This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability.

This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

About the Author:

Katarina Juselius obtained her Ph.D from the Swedish School of Economics, Helsinki in 1983. In 1985 she became Associate Professor at the University of Copenhagen and in 1996 she was appointed the Chair of Macroeconometrics. She has published extensively on the methodology of Cointegrated VAR Models with applications to Monetary Transmission Mechanisms, Policy Control Rules, Price Linkages, Wage-, Price, and Unemployment Dynamics. She has been the leader of numerous research projects, and has been on the editorial boards of the International Journal of Forecasting, the Journal of Business and Economic Statistics, and is presently serving the Journal of Economic Methodology. In 1995-98 she was a member of the Danish Social Sciences Research Council and is presently a member of the EUROCORES committee at the European Science Foundation.

Contenuti:

  • Bridging economics and econometrics
  • 1: Introduction
  • 2: Models and Relations in Economics and Econometrics
  • 3: The Probability Approach in Econometrics and the VAR
  • Specifying the VAR Model
  • 4: The Unrestricted VAR
  • 5: The Cointegrated VAR Model
  • 6: Deterministic Components in the I(1) Model
  • 7: Estimation in the I(1) Model
  • 8: Determination of Cointegration Rank
  • Testing Hypotheses on cointegration
  • 9: Recursive Tests of Constancy
  • 10: Testing Restrictions on Beta
  • 11: Testing Restrictions on Alpha
  • Identification
  • 12: Identification of the Long-Run Structure
  • 13: Identification of the Short-Run Structure
  • 14: Identification of Common Trends
  • 15: Identification of a Structural MA Model
  • The I(2) Model
  • 16: Analyzing I(2) Data with the I(1) Model
  • 17: The I(2) Model: specification and estimation
  • 18: Testing Hypotheses in the I(2) Model
  • A Methodological Approach
  • 19: Specific-to-General and General-to-Specific
  • 20: Wage, Price, and Unemployment Dynamics
  • 21: Foreign Transmission Effects: Denmark versus Germany
  • 22: Collecting the Threads
  • Appendix A: The Asymptotic Tables for Cointegration Rank

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

I migliori risultati di ricerca su AbeBooks

1.

Juselius, Katarina
Editore: Oxford University Press, USA (2007)
ISBN 10: 0199285675 ISBN 13: 9780199285679
Nuovi Paperback Quantità: 1
Da
Ergodebooks
(RICHMOND, TX, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Oxford University Press, USA, 2007. Paperback. Condizione libro: New. 2. Codice libro della libreria DADAX0199285675

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 82,13
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 3,78
In U.S.A.
Destinazione, tempi e costi

2.

Juselius, Katarina
Editore: Oxford University Press (2007)
ISBN 10: 0199285675 ISBN 13: 9780199285679
Nuovi Paperback Quantità: 1
Da
Irish Booksellers
(Rumford, ME, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Oxford University Press, 2007. Paperback. Condizione libro: New. book. Codice libro della libreria 0199285675

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 87,61
Convertire valuta

Aggiungere al carrello

Spese di spedizione: GRATIS
In U.S.A.
Destinazione, tempi e costi

3.

Juselius, Katarina
Editore: Oxford University Press, USA (2007)
ISBN 10: 0199285675 ISBN 13: 9780199285679
Nuovi Paperback Quantità: 1
Da
Revaluation Books
(Exeter, Regno Unito)
Valutazione libreria
[?]

Descrizione libro Oxford University Press, USA, 2007. Paperback. Condizione libro: Brand New. 2nd edition. 457 pages. 9.25x6.50x0.75 inches. In Stock. Codice libro della libreria zk0199285675

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 83,82
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 7,14
Da: Regno Unito a: U.S.A.
Destinazione, tempi e costi

4.

Juselius, Katarina
ISBN 10: 0199285675 ISBN 13: 9780199285679
Nuovi Quantità: 1
Da
Castle Rock
(Pittsford, NY, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Condizione libro: Brand New. Book Condition: Brand New. Codice libro della libreria 97801992856791.0

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 152,56
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 3,78
In U.S.A.
Destinazione, tempi e costi

5.

Juselius, Katarina
Editore: Oxford University Press (2007)
ISBN 10: 0199285675 ISBN 13: 9780199285679
Nuovi Brossura Quantità: 1
Da
Book Deals
(Lewiston, NY, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Oxford University Press, 2007. Condizione libro: New. Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: Bridging economics and econometrics1. Introduction2. Models and Relations in Economics and Econometrics3. The Probability Approach in Econometrics and the VARSpecifying the VAR Model4. The Unrestricted VAR5. The Cointegrated VAR Model6. Deterministic Components in the I(1) Model7. Estimation in the I(1) Model8. Determination of Cointegration RankHypotheses testing9. Recursive Tests of Constancy10. Testing Restrictions on Beta11. Testing Restrictions on AlphaIdentification12. Identification of the Long-Run Structure13. Identification of the Short-Run Structure14. Identification of Common Trends15. Identification of a Structural MA ModelThe I(2) Model16. Analyzing I(2) Data with the I(1) Model17. The I(2) Model: specification and estimation18. Testing Hypotheses in the I(2) ModelA Methodological Approach19. Specific-to-General and General-to-Specific20. Wage, Price, and Unemployment Dynamics21. Foreign Transmission Effects: Denmark versus Germany22. Collecting the ThreadsAppendix A: The Asymptotic Tables for Cointegration Rank. Codice libro della libreria ABE_book_new_0199285675

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 156,43
Convertire valuta

Aggiungere al carrello

Spese di spedizione: GRATIS
In U.S.A.
Destinazione, tempi e costi

6.

Juselius, Katarina
Editore: Oxford University Press (2007)
ISBN 10: 0199285675 ISBN 13: 9780199285679
Nuovi Paperback Quantità: 3
Da
Murray Media
(North Miami Beach, FL, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Oxford University Press, 2007. Paperback. Condizione libro: New. Codice libro della libreria P110199285675

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 229,22
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 2,83
In U.S.A.
Destinazione, tempi e costi