Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Language: en
Pages: 278
Authors: Søren Johansen
Categories: Business & Economics
Type: BOOK - Published: 1995-12-28 - Publisher: OUP Oxford

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This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had gained popularity because it can
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Language: en
Pages: 0
Authors: Soren Johansen
Categories:
Type: BOOK - Published: - Publisher:

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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Language: en
Pages: 278
Authors: Soren Johansen
Categories:
Type: BOOK - Published: - Publisher:

GET EBOOK

Likelihood-based Inference in Cointegrated Vector Autoregressive Models
Language: en
Pages: 280
Authors: Søren Johansen
Categories: Business & Economics
Type: BOOK - Published: 1995 - Publisher: Oxford University Press, USA

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This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegrat
Workbook on Cointegration
Language: en
Pages: 178
Authors: Peter Reinhard Hansen
Categories: Business & Economics
Type: BOOK - Published: 1998 - Publisher: Oxford University Press, USA

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Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of