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...

Ausführliche Beschreibung

Bibliographische Detailangaben

1. Verfasser:	Johansen, Søren (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Oxford [u.a.] Oxford Univ. Press 1995
Schriftenreihe:	Advanced texts in econometrics
Schlagworte:	Afleiding (logica) Econometrie Estatistica aplicada a economia Inferencia estatistica Multivariabele systemen Statistiek Statistische analyse Tijdreeksen Statistik Ökonometrisches Modell Econometric models Autoregression (Statistics) Wahrscheinlichkeitsmaß Nichtstationäre Zeitreihenanalyse Vektor-autoregressives Modell Maximum-Likelihood-Schätzung Kointegration
Zusammenfassung:	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.
Beschreibung:	X, 267 S. graph. Darst.
ISBN:	0198774494 0198774508