Likelihood based Inference in Cointegrated Vector Autoregressive Models

Download or Read online Likelihood based Inference in Cointegrated Vector Autoregressive Models full in PDF, ePub and kindle. This book written by Søren Johansen and published by Oxford University Press on Demand which was released on 09 August 1995 with total pages 267. Read Likelihood based Inference in Cointegrated Vector Autoregressive Models Book directly on your devices, fast download and no annoying ads.

Likelihood based Inference in Cointegrated Vector Autoregressive Models
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Publisher : Oxford University Press on Demand
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ISBN : 9780198774501
Pages : 267 pages
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Download or Read Online Likelihood based Inference in Cointegrated Vector Autoregressive Models in PDF, Epub and Kindle

This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.

Likelihood based Inference in Cointegrated Vector Autoregressive Models

This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.

DOWNLOAD BOOK
Likelihood Based Inference in Cointegrated Vector Autoregressive Models

This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had 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

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Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

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Co integration  Error Correction  and the Econometric Analysis of Non Stationary Data

This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysing such data are of recent origin and there are few

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Obtaining reliable inference procedures is one of the main challenges of econometric research. Test statistics are usually based on applications of the central limit theorem. However, in order to work well the first order asymptotic approximation requires that the asymptotic distribution is an accurate approximation to the finite sample distribution.

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This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.

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The Cointegrated VAR Model

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Structural Vector Autoregressive Analysis

Structural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This book not only reviews the many alternative structural VAR approaches discussed in the literature, but also highlights their pros and cons in practice. It provides guidance to empirical researchers as to the

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