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

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

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics) Paperback - 1995 - 1st Edition

by Johansen, Søren

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Oxford University Press, 1995. paperback. Very Good. 9x6x0. Unmarked trade paperback.
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Details

  • Title Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics)
  • Author Johansen, Søren
  • Binding Paperback
  • Edition number 1st
  • Edition 1
  • Condition Used - Very good
  • Pages 280
  • Volumes 1
  • Language ENG
  • Publisher Oxford University Press
  • Publication date 1995
  • Illustrated Yes
  • Features Bibliography, Illustrated, Index
  • Bookseller's Inventory # 108271
  • ISBN 9780198774501 / 0198774508
  • Weight 0.88 lbs (0.40 kg)
  • Dimensions 9.21 x 6.14 x 0.6 in (23.39 x 15.60 x 1.52 cm)
  • Size 9x6x0
  • Category Business / Economics / Finance
  • Library of Congress subjects Econometric models, Autoregression (Statistics)
  • Library of Congress Catalogue Number 96136373
  • Dewey Decimal Code 330.015
  • Quantity available 1

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From the publisher

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.

From the rear 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.

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