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

Libro 9 de 26: Advanced Texts in Econometrics

Johansen, Søren

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

Sinopsis

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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Acerca del autor

Soren Johansen is at the Institute of Mathematical Statistics, University of Copenhagen.

De la contraportada

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.

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Editorial
Oxford University Press, U.S.A.
Año de publicación
1996
Idioma
Inglés
ISBN 10 
0198774508
ISBN 13 
9780198774501
Encuadernación
Tapa blanda
Número de páginas
288
Contacto del fabricante
no disponible
Persona responsable
gpsr@libri.de
gpsr@libri.de

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