The Cointegrated VAR Model: Methodology and Applications (Advanced Texts in Econometrics) - Tapa dura

Juselius, Katarina

 
9780199285662: The Cointegrated VAR Model: Methodology and Applications (Advanced Texts in Econometrics)
Tapa dura
ISBN 10: 0199285667 ISBN 13: 9780199285662
Editorial: OUP Oxford, 2006

Sinopsis

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.

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Acerca del autor

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.

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Editorial
OUP Oxford
Año de publicación
2006
Idioma
Inglés
ISBN 10 
0199285667
ISBN 13 
9780199285662
Encuadernación
Tapa dura
Número de páginas
480
Contacto del fabricante
no disponible
Persona responsable
Penguin Random House Ireland Limited
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Otras ediciones populares con el mismo título

9780199285679: COINTEGRATED VAR MODEL:METHODOL APPLICAT ATE:P PAPER: Methodology and Applications (Advanced Texts in Econometrics)

Edición Destacada

ISBN 10:  0199285675 ISBN 13:  9780199285679
Editorial: Oxford University Press, 2006
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