Structural inference in cointegrated vector autoregressive models

Likelihood-Based Inference in Cointegrat

📁 Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

✍ Søren Johansen 📂 Library 📅 1996 🏛 Oxford University Press, USA 🌐 English

The Johansen tests of cointegration are development for the five models proposed for johansen, the book includes examples with a database of the monetary sector. The book contains the classic topics in cointegration (test for cointegration, and test for specification of the vector of cointegration a

Likelihood-based inference in cointegrat

📁 Likelihood-based inference in cointegrated vector autoregressive models

✍ Søren Johansen 📂 Library 📅 1996 🏛 Oxford University Press, USA 🌐 English

In this book, Professor Johansen, a leading statistician working in econometrics, gives a detailed mathematical and statistical analysis of the cointegrated vector autoregressive model, which has been gaining in popularity. The book is a self-contained presentation for graduate students and research

Likelihood-Based Inference in Cointegrat

📁 Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics)

✍ Soren Johansen 📂 Library 📅 1996 🌐 English

In this book, Professor Johansen, a leading statistician working in econometrics, gives a detailed mathematical and statistical analysis of the cointegrated vector autoregressive model, which has been gaining in popularity. The book is a self-contained presentation for graduate students and research

Structural Vector Autoregressive Analysi

📁 Structural Vector Autoregressive Analysis

✍ Lutz Kilian, Helmut Lütkepohl 📂 Library 📅 2017 🏛 Cambridge University Press 🌐 English

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

Empirical Vector Autoregressive Modeling

📁 Empirical Vector Autoregressive Modeling

✍ Dr. Marius Ooms (auth.) 📂 Library 📅 1994 🏛 Springer-Verlag Berlin Heidelberg 🌐 English

<p>1. 1 Integrating results The empirical study of macroeconomic time series is interesting. It is also difficult and not immediately rewarding. Many statistical and economic issues are involved. The main problems is that these issues are so interrelated that it does not seem sensible to address the

Empirical Vector Autoregressive Modeling

📁 Empirical Vector Autoregressive Modeling

✍ Dr. Marius Ooms (auth.) 📂 Library 📅 1994 🏛 Springer-Verlag Berlin Heidelberg 🌐 English

<p>1. 1 Integrating results The empirical study of macroeconomic time series is interesting. It is also difficult and not immediately rewarding. Many statistical and economic issues are involved. The main problems is that these issues are so interrelated that it does not seem sensible to address the