Likelihood based inference in cointegrated vector autoregressive models:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Oxford [u.a.]
Oxford Univ. Press
2005
|
| Ausgabe: | Reprinted |
| Schriftenreihe: | Advanced texts in econometrics
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | X, 267 S. graph. Darst. |
| ISBN: | 0198774508 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804135331108225024 |
|---|---|
| adam_text | Contents
Part I
The Statistical Analysis of Cointegration
1
1.1
1.2
1.3
1.4
1.5
2
2.1
2.2
2.3
2.4
3
3.1
3.2
4
Variables
4.1
variables
4.2
variables
4.3
4.4
5
5.1
5.2
5.3
5.4
5.5
5.6
5.7
Contents
5.8 Intervention
5.9
The Statistical Analysis of
6.1
6.2
6.3
6.4
Hypothesis Testing for the Long-Run CoeflBicients
7.1
7.2
7.3
7.4
Partial Systems and Hypotheses on a
8.1
8.2
8.3
8.4
The
9.1
9.2
9.3
Part II
The Probability Analysis op Cointegration
10
10.1
10.2
10.3
11
Cointegrating Rank
11.1
11.2
cointegrating rank
11.3
11.4
Contents xi
12 Determination
12.1 Model
12.2
12.3
12.4
13
13.1
13.2
13.3
13.4
13.5
13.6
run coefficients
13.7
14
Rank under Local Alternatives
14.1
14.2
alternatives
14.3
14.4
15
15.1
15.2
15.3
Part III
Appendices
A Some Mathematical Results
A.I Eigenvalues and eigenvectors
A.2 The binomial formula for matrices
À.3
A.4 Principal components and canonical
corrélations
B Weak Convergence of Probability Measures on RP and
C[0,l]
B.I Weak convergence on BP
xii Contents
B.2 Weds convergence on C[0,
B.3 Construction of measures on C[0,
B.4 Tightness and Prohorov s theorem
B.5 Construction of Brovmian motion
B.6 Stochastic integrals with respect to Brovmian
motion
B.7 Some useful results for linear processes
References
Subject Index
Author Index
This book gives a detailed
/ector
ame
behaviour of many non-stationary time series. It also allowsrelevantecorym^uestinrjj
;o be formulated in a consistent statistical framework,^NMMHlMH||F ■HM
Part I of the book is planned so that it can be used by those who want to apply tn^^H
Tiethods without going into too much detail about the probability theory. The main <|^|
emphasis is on the derivation of estimators and test statistics through a consistentusea
of the Gaussian likelihood function. It is shown that many different models can be 4MH
formulated within the framework of the
these models is discussed in detail. In particular, models involving restrictions on the ^H
cointegration
of the constant and linear drift. ^MQPflV^PV.gMMMMMMgHHHpMMHIIiH
In Part II, the asymptotic theory is given theTiightlymoregerieral frameworkofT^^H
stationary linear processes with i.i.d. innovations. Some useful mathematical ^^H
are collected in Appendix A, and a brief summary otw.eakX-QO.v.ergence is given i
Appendix
The book is
students and researchers with a good knowledge of multivariate regression analysis anc
¡likelihood methods. The asymptotic theory requires some familiarity with the theory of
eak convergence of stochastic processes. The theory is treated in detail with thej|M
urpose of giving the reader a working knowledge of the techniques involved. 4HRIH
Many exercises are provided. The theoretical analysis is illustrated with the empiric ail
nalysis of two sets of economic data. The theory has been developed in close contact!
ith the application and the methods have been implemented in the computer package!
ATS in RATS as a resultof .ax.QHab,oration with
|
| adam_txt |
Contents
Part I
The Statistical Analysis of Cointegration
1
1.1
1.2
1.3
1.4
1.5
2
2.1
2.2
2.3
2.4
3
3.1
3.2
4
Variables
4.1
variables
4.2
variables
4.3
4.4
5
5.1
5.2
5.3
5.4
5.5
5.6
5.7
Contents
5.8 Intervention
5.9
The Statistical Analysis of
6.1
6.2
6.3
6.4
Hypothesis Testing for the Long-Run CoeflBicients
7.1
7.2
7.3
7.4
Partial Systems and Hypotheses on a
8.1
8.2
8.3
8.4
The
9.1
9.2
9.3
Part II
The Probability Analysis op Cointegration
10
10.1
10.2
10.3
11
Cointegrating Rank
11.1
11.2
cointegrating rank
11.3
11.4
Contents xi
12 Determination
12.1 Model
12.2
12.3
12.4
13
13.1
13.2
13.3
13.4
13.5
13.6
run coefficients
13.7
14
Rank under Local Alternatives
14.1
14.2
alternatives
14.3
14.4
15
15.1
15.2
15.3
Part III
Appendices
A Some Mathematical Results
A.I Eigenvalues and eigenvectors
A.2 The binomial formula for matrices
À.3
A.4 Principal components and canonical
corrélations
B Weak Convergence of Probability Measures on RP and
C[0,l]
B.I Weak convergence on BP
xii Contents
B.2 Weds convergence on C[0,
B.3 Construction of measures on C[0,
B.4 Tightness and Prohorov's theorem
B.5 Construction of Brovmian motion
B.6 Stochastic integrals with respect to Brovmian
motion
B.7 Some useful results for linear processes
References
Subject Index
Author Index
This book gives a detailed
/ector
ame
behaviour of many non-stationary time series. It also allowsrelevantecorym^uestinrjj
;o be formulated in a consistent statistical framework,^NMMHlMH||F ■HM
Part I of the book is planned so that it can be used by those who want to apply tn^^H
Tiethods without going into too much detail about the probability theory. The main <|^|
emphasis is on the derivation of estimators and test statistics through a consistentusea
of the Gaussian likelihood function. It is shown that many different models can be 4MH
formulated within the framework of the
these models is discussed in detail. In particular, models involving restrictions on the ^H
cointegration
of the constant and linear drift. ^MQPflV^PV.gMMMMMMgHHHpMMHIIiH
In Part II, the asymptotic theory is given theTiightlymoregerieral frameworkofT^^H
stationary linear processes with i.i.d. innovations. Some useful mathematical ^^H
are collected in Appendix A, and a brief summary otw.eakX-QO.v.ergence is given i
Appendix
The book is
students and researchers with a good knowledge of multivariate regression analysis anc
¡likelihood methods. The asymptotic theory requires some familiarity with the theory of
eak convergence of stochastic processes. The theory is treated in detail with thej|M
urpose of giving the reader a working knowledge of the techniques involved. 4HRIH
Many exercises are provided. The theoretical analysis is illustrated with the empiric ail
nalysis of two sets of economic data. The theory has been developed in close contact!
ith the application and the methods have been implemented in the computer package!
ATS in RATS as a resultof .ax.QHab,oration with |
| any_adam_object | 1 |
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| author | Johansen, Søren |
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| spelling | Johansen, Søren Verfasser aut Likelihood based inference in cointegrated vector autoregressive models Søren Johansen likelihood-based Reprinted Oxford [u.a.] Oxford Univ. Press 2005 X, 267 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Advanced texts in econometrics Kointegration (DE-588)4347470-6 gnd rswk-swf Vektor-autoregressives Modell (DE-588)4288533-4 gnd rswk-swf Nichtstationäre Zeitreihenanalyse (DE-588)4300599-8 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf Wahrscheinlichkeitsmaß (DE-588)4137556-7 gnd rswk-swf Maximum-Likelihood-Schätzung (DE-588)4194624-8 gnd rswk-swf Nichtstationäre Zeitreihenanalyse (DE-588)4300599-8 s Vektor-autoregressives Modell (DE-588)4288533-4 s Wahrscheinlichkeitsmaß (DE-588)4137556-7 s Kointegration (DE-588)4347470-6 s 1\p DE-604 Maximum-Likelihood-Schätzung (DE-588)4194624-8 s 2\p DE-604 Statistik (DE-588)4056995-0 s 3\p DE-604 Digitalisierung UBPassau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014782710&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014782710&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Johansen, Søren Likelihood based inference in cointegrated vector autoregressive models Kointegration (DE-588)4347470-6 gnd Vektor-autoregressives Modell (DE-588)4288533-4 gnd Nichtstationäre Zeitreihenanalyse (DE-588)4300599-8 gnd Statistik (DE-588)4056995-0 gnd Wahrscheinlichkeitsmaß (DE-588)4137556-7 gnd Maximum-Likelihood-Schätzung (DE-588)4194624-8 gnd |
| subject_GND | (DE-588)4347470-6 (DE-588)4288533-4 (DE-588)4300599-8 (DE-588)4056995-0 (DE-588)4137556-7 (DE-588)4194624-8 |
| title | Likelihood based inference in cointegrated vector autoregressive models |
| title_alt | likelihood-based |
| title_auth | Likelihood based inference in cointegrated vector autoregressive models |
| title_exact_search | Likelihood based inference in cointegrated vector autoregressive models |
| title_exact_search_txtP | Likelihood based inference in cointegrated vector autoregressive models |
| title_full | Likelihood based inference in cointegrated vector autoregressive models Søren Johansen |
| title_fullStr | Likelihood based inference in cointegrated vector autoregressive models Søren Johansen |
| title_full_unstemmed | Likelihood based inference in cointegrated vector autoregressive models Søren Johansen |
| title_short | Likelihood based inference in cointegrated vector autoregressive models |
| title_sort | likelihood based inference in cointegrated vector autoregressive models |
| topic | Kointegration (DE-588)4347470-6 gnd Vektor-autoregressives Modell (DE-588)4288533-4 gnd Nichtstationäre Zeitreihenanalyse (DE-588)4300599-8 gnd Statistik (DE-588)4056995-0 gnd Wahrscheinlichkeitsmaß (DE-588)4137556-7 gnd Maximum-Likelihood-Schätzung (DE-588)4194624-8 gnd |
| topic_facet | Kointegration Vektor-autoregressives Modell Nichtstationäre Zeitreihenanalyse Statistik Wahrscheinlichkeitsmaß Maximum-Likelihood-Schätzung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014782710&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014782710&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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