The Resource Likelihood-based inference in cointegrated vector autoregressive models, Søren Johansen

Likelihood-based inference in cointegrated vector autoregressive models, Søren Johansen

Label
Likelihood-based inference in cointegrated vector autoregressive models
Title
Likelihood-based inference in cointegrated vector autoregressive models
Statement of responsibility
Søren Johansen
Creator
Subject
Language
eng
Summary
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
Dewey number
330/.01/5195
Illustrations
illustrations
Index
index present
LC call number
HB141
LC item number
.J64 1995
Literary form
non fiction
Nature of contents
bibliography
Series statement
Advanced texts in econometrics
Label
Likelihood-based inference in cointegrated vector autoregressive models, Søren Johansen
Publication
Note
Includes indexes
Bibliography note
Bibliography: p. [255]-260
http://library.link/vocab/branchCode
  • zbnus
  • mel
  • net
Contents
Pt. I. The Statistical Analysis of Cointegration. 1. Introduction. 2. The Vector Autoregressive Model. 3. Basic Definitions and Concepts. 4. Cointegration and Representation of Integrated Variables. 5. The I(1) Models and their Interpretation. 6. The Statistical Analysis of I(1) Models. 7. Hypothesis Testing for the Long-Run Coefficients [beta]. 8. Partial Systems and Hypotheses on [alpha]. 9. The I(2) Model and a Test for I(2) -- Pt. II. The Probability Analysis of Cointegration. 10. Probability Properties of I(1) Processes. 11. The Asymptotic Distribution of the Test for Cointegrating Rank. 12. Determination of Cointegrating Rank. 13. Asymptotic Properties of the Estimators. 14. The Power Function of the Test for Cointegrating Rank under Local Alternatives. 15. Simulations and Tables -- App. A. Some Mathematical Results -- App. B. Weak Convergence of Probability Measures on R[superscript P] and C[0,1]
Control code
000012116760
Dimensions
25 cm
Extent
x, 267 p.
Isbn
9780198774501
Lccn
96136373
Other physical details
ill.
http://library.link/vocab/recordID
.b17066141
Reproduction note
Electronic reproduction.
System control number
  • rmr7283007
  • (OCoLC)34077043

Library Locations

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    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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