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

Buch 9 von 26: Advanced Texts in Econometrics

Johansen, Søren

 
9780198774501: Likelihood-Based Inference In Cointegrated Vector Autoregressive Models (Advanced Texts In Econometrics)
Softcover
ISBN 10: 0198774508 ISBN 13: 9780198774501
Verlag: Oxford University Press, U.S.A., 1996

Inhaltsangabe

A self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods

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Über die Autorin bzw. den Autor

Soren Johansen is at the Institute of Mathematical Statistics, University of Copenhagen.

Von der hinteren Coverseite

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.

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Verlag
Oxford University Press, U.S.A.
Erscheinungsdatum
1996
Sprache
Englisch
ISBN 10 
0198774508
ISBN 13 
9780198774501
Einband
Taschenbuch
Anzahl der Seiten
288
Kontakt zum Hersteller
preigu GmbH & Co. KG
mail@preigu.de

Lengericher Landstr. 19
Osnabrück
Niedersachsen
49078
Deutschland

Weitere beliebte Ausgaben desselben Titels

9780198774495: Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics)

Vorgestellte Ausgabe

ISBN 10:  0198774494 ISBN 13:  9780198774495
Verlag: Oxford University Press, 1996
Hardcover