|Author||: Søren Johansen|
|Publisher||: Oxford University Press on Demand|
|Release Date||: 09 August 1995|
|Pages||: 267 pages|
|Rating||: /5 ( users)|
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.