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

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9780198774501: Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics)

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 researchers with a good knowledge of multivariate regression analysis and likelihood methods. The theory is treated in detail to give the reader a working knowledge of the techniques involved, and many exercises are provided. The theoretical analysis is illustrated with the empirical analysis of two sets of economic data. The theory has been developed in close contact with the application and the methods have been implemented in the computer package CATS in RATS.

About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

From the Back Cover :

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.

About the Author :

Søren Johansen is at University of Copenhagen.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

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1.

Soren Johansen
Edité par Oxford University Press, United Kingdom (1996)
ISBN 10 : 0198774508 ISBN 13 : 9780198774501
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Description du livre Oxford University Press, United Kingdom, 1996. Paperback. État : New. Language: English . Brand New Book. 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 to be formulated in a consistent statistical framework. Part I of the book is planned so that it can be used by those who want to apply the methods without going into too much detail about the probability theory. The main emphasis is on the derivation of estimators and test statistics through a consistent use of the Guassian likelihood function. It is shown that many different models can be formulated within the framework of the autoregressive model and the interpretation of these models is discussed in detail. In particular, models involving restrictions on the cointegration vectors and the adjustment coefficients are discussed, as well as the role of the constant and linear drift. In Part II, the asymptotic theory is given the slightly more general framework of stationary linear processes with i.i.d. innovations. Some useful mathematical tools are collected in Appendix A, and a brief summary of weak convergence in given in Appendix B. The book is intended to give a relatively self-contained 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. Many exercises are provided. The theoretical analysis is illustrated with the empirical analysis of two sets of economic data. The theory has been developed in close contract with the application and the methods have been implemented in the computer package CATS in RATS as a result of a rcollaboation with Katarina Juselius and Henrik Hansen. N° de réf. du libraire AAW9780198774501

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Johansen, Soren
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Description du livre OUP Oxford, 2016. Paperback. État : New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. N° de réf. du libraire ria9780198774501_lsuk

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Description du livre Oxford University Press, 2017. Paperback. État : New. Never used! This item is printed on demand. N° de réf. du libraire 0198774508

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SÃ ren Johansen
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Description du livre OUP Oxford. Paperback. État : New. Paperback. 280 pages. Dimensions: 8.9in. x 6.1in. x 0.6in.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 researchers with a good knowledge of multivariate regression analysis and likelihood methods. The theory is treated in detail to give the reader a working knowledge of the techniques involved, and many exercises are provided. The theoretical analysis is illustrated with the empirical analysis of two sets of economic data. The theory has been developed in close contact with the application and the methods have been implemented in the computer package C. A. T. S. in R. A. T. S. . About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Paperback. N° de réf. du libraire 9780198774501

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Description du livre Oxford University Press, 1996. Paperback. État : New. book. N° de réf. du libraire M0198774508

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Description du livre Oxford Univ Pr, 1995. Paperback. État : Brand New. illustrated edition. 280 pages. 9.25x6.25x0.75 inches. In Stock. N° de réf. du libraire __0198774508

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Description du livre Oxford University Press, 2017. Paperback. État : New. Never used! This item is printed on demand. N° de réf. du libraire P110198774508

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