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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Taschenbuch von Soren Johansen (u. a.)
Sprache: Englisch

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Beschreibung
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.
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.
Details
Erscheinungsjahr: 1995
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
ISBN-13: 9780198774501
ISBN-10: 0198774508
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Johansen, Soren
Johansen, Sren
Johansen, S/Oren
Hersteller: OUP Oxford
Maße: 234 x 156 x 15 mm
Von/Mit: Soren Johansen (u. a.)
Erscheinungsdatum: 28.12.1995
Gewicht: 0,436 kg
Artikel-ID: 108634502
Details
Erscheinungsjahr: 1995
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
ISBN-13: 9780198774501
ISBN-10: 0198774508
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Johansen, Soren
Johansen, Sren
Johansen, S/Oren
Hersteller: OUP Oxford
Maße: 234 x 156 x 15 mm
Von/Mit: Soren Johansen (u. a.)
Erscheinungsdatum: 28.12.1995
Gewicht: 0,436 kg
Artikel-ID: 108634502
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