The Resource Likelihoodbased inference in cointegrated vector autoregressive models, Søren Johansen
Likelihoodbased inference in cointegrated vector autoregressive models, Søren Johansen
 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 shortrun dynamic properties as well as the longrun equilibrium behaviour of many nonstationary time series. It also allows relevant economic questions to be formulated in a consistent statistical framework. The book is intended to give a relatively selfcontaining 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
 Language
 eng
 Extent
 x, 267 p.
 Note
 Includes indexes
 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 LongRun 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]
 Isbn
 9780198774501
 Label
 Likelihoodbased inference in cointegrated vector autoregressive models
 Title
 Likelihoodbased inference in cointegrated vector autoregressive models
 Statement of responsibility
 Søren Johansen
 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 shortrun dynamic properties as well as the longrun equilibrium behaviour of many nonstationary time series. It also allows relevant economic questions to be formulated in a consistent statistical framework. The book is intended to give a relatively selfcontaining 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
 Likelihoodbased inference in cointegrated vector autoregressive models, Søren Johansen
 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 LongRun 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

Deakin University Library  Melbourne Burwood CampusBorrow it221 Burwood Highway, Burwood, Victoria, 3125, AU37.846510 145.115099

Deakin University Library  Geelong Waurn Ponds CampusBorrow it75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU38.195656 144.304955

Deakin University Library  Geelong Waurn Ponds CampusBorrow it75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU38.195656 144.304955
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