Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics) - Hardcover

Johansen, Søren

Hardcover

ISBN 10: 0198774494 ISBN 13: 9780198774495

Publisher: Oxford University Press, 1996

Synopsis

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 CATS in RATS.

About this title

From the Back Cover

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.

About the Author

Søren Johansen is at University of Copenhagen.

Edition details

• Publisher: Oxford University Press
• Publication date: 1996
• Language: English
• ISBN 10: 0198774494
• ISBN 13: 9780198774495
• Binding: Hardcover
• Number of pages: 278