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Likelihood-based inference in cointegrated vector autoregressive models

Опубликовано на портале: 30-09-2003
Oxford: Oxford University Press, 1995, cерия "Advanced texts in econometrics", 267 с.
Тематический раздел:
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. This monograph, written by a leading statistician working in econometrics, gives a detailed mathematical and statistical analysis of the cointegrated vector autoregressive model. Applied and theoretical econometricians; graduate students of econometrics.

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.
  1. Introduction
  2. The Vector Autoregressive Model
  3. Basic Definitions and Concepts
  4. Cointegration and Representation of Integrated Variables
  5. The I(1) Models and their Interpretation
  6. The Statistical Analysis of I(1) Models
  7. Hypothesis Testing for the Long-Run Coefficients {-63}beta
  8. Partial Systems and Hypotheses on {-63}alpha
  9. The I(2) Model and a Test for I(2)
  10. Probability Properties of I(1) Processes
  11. The Asymptotic Distribution of the Test for Cointegrating Rank
  12. Determination of Cointegrating Rank
  13. Asymptotic Properties of the Estimators
  14. The Power Function of the Test for Cointegrating Rank under Local Alternatives
  15. Simulations and Tables

    App. A Some Mathematical Results

    App. B Weak Convergence of Probability Measures on R{-63}superscript p and C{-63}0,1

    References

    Subject Index

    Author Index


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