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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.
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LIKELIHOOD-BASED INFERENCE IN COINTEGRATED VECTOR ~ LIKELIHOOD-BASED INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS S0REN JOHANSEN f^!( i -- -—A )) OXPORD UNIVERSITY PRESS. Contents PART I THE STATISTICAL ANALYSIS OF COINTEGRATION Introduction 3 1.1 The vector autoregressive model 4 1.2 Building statistical models 5 1.3 Illustrative examples 7 1.4 An outline of the contents 8 1.5 Some .
Likelihood-Based Inference in Cointegrated Vector ~ Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics) Soren Johansen 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.
LIKELIHOOD-BASED INFERENCE IN COINTEGRATED VECTOR ~ likelihood-based inference in cointegrated vector autoregressive models - volume 14 issue 4 Skip to main content Accessibility help We use cookies to distinguish you from other users and to provide you with a better experience on our websites.
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Likelihood-based Inference in Cointegrated Vector ~ 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.
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Likelihood-Based Inference in Cointegrated Vector ~ 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.
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PDF Likelihood Based Inference In Cointegrated Vector ~ Likelihood based Inference in Cointegrated Vector Autoregressive Models Release on 1995 / by Søren Johansen 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.
Likelihood-Based Inference in Cointegrated Vector ~ Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics) by Johansen, Søren 1st edition (1996) Paperback: Books - .ca
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Likelihood-Based Inference in Cointegrated Vector ~ Mar 7, 2013 - Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics) by Søren Johansen. $53.22. Author: Søren Johansen. Publisher: Oxford University Press, USA (February 1, 1996). Publication: February 1, 1996
Likelihood-Based Inference in Cointegrated Vector ~ 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.
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Likelihood Inference for a Fractionally Cointegrated ~ We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model, based on the Gaussian likelihood conditional on initial values. We give conditions on the parameters such that the process X t is fractional of order d and cofractional of order d − b ; that is, there exist vectors β for which β ′ X t is fractional of order d − b and no other .
Conditional Inference in the Cointegrated Vector ~ Conditional Inference in the Cointegrated Vector Autoregressive Model Kees Jan van Garderen and Sophocles Mavroeidis University of Amsterdam June 24, 2004 Abstract A Vector Autoregressive model (VAR) with normally distributed innovations is a Curved Exponential Model (CEM). Cointegration imposes further curvature on the model and this means
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