Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Johansen, Soren

ISBN 10: 0198774508 / ISBN 13: 9780198774501

Published by OUP Oxford 1995-12, 1995

About this Item

Seller Inventory # 6666-IUK-9780198774501

Bibliographic Details

• Title: Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Publisher: OUP Oxford 1995-12
• Publication Date: 1995
• Language: English
• ISBN 10: 0198774508
• ISBN 13: 9780198774501
• Binding: PF
• Condition: New

About this title

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 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.

About the Author

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