Likelihood based inference in cointegrated vector autoregressive models:
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...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Oxford [u.a.]
Oxford Univ. Press
1995
|
| Schriftenreihe: | Advanced texts in econometrics
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| 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: | Literaturverz. S. [255] - 260 |
| Beschreibung: | X, 267 S. graph. Darst. |
| ISBN: | 0198774494 0198774508 |
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Datensatz im Suchindex
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| adam_text | LIKELIHOOD-BASED INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS
S0REN JOHANSEN OXFORD UNIVERSITY/PRESS 1995 CONTENTS PART I THE
STATISTICAL ANALYSIS OF COINTEGRATION 1 INTRODUCTION 3 1 1 THE VECTOR
AUTOREGRESSIVE MODEL 4 1 2 BUILDING STATISTICAL MODELS 5 13 ILLUSTRATIVE
EXAMPLES 7 1 4 AN OUTLINE OF THE CONTENTS 8 1 5 SOME FURTHER PROBLEMS 10
2 THE VECTOR AUTOREGRESSIVE MODEL 11 2 1 THE VECTOR AUTOREGRESSIVE
PROCESS 11 2 2 THE STATISTICAL ANALYSIS OF THE VAR 17 2 3
MTSSPECIFICATION TESTS 20 2 4 JTIE ILLUSTRATIVE EXAMPLES 23 3 BASIC
DEFINITIONS AND CONCEPTS 34 3 1 COINTEGRATION AND COMMON TRENDS 34 3 2
EXERCISES 42 4 COINTEGRATION AND REPRESENTATION OF INTEGRATED VARIABLES
45 4 1 FROM AR TO MA REPRESENTATION FOR 7(1) VARIABLES 45 4 2 JTYIOM MA
TO AR REPRESENTATION FOR 7(1) VARIABLES 54 4 3 THE MA REPRESENTATION OF
7(2) VARIABLES 56 4 4 EXERCISES 61 5 THE 7(1) MODELS AND THEIR
INTERPRETATION 70 5 1 THE 7(1) MODELS FOR COINTEGRATION 70 5 2 77IE
PARAMETNZATION OF THE 7(1) MODEL 71 5 3 HYPOTHESES ON THE LONG RUN
COEFFICIENTS (3 72 5 4 HYPOTHESES ON THE ADJUSTMENT COEFFICIENTS A 77 5
5 THE STRUCTURAL ERROR CORRECTION MODEL 78 5 6 GENERAL HYPOTHESES 79 5 7
MODELS FOR DETERMINISTIC TERMS 80 VIU CONTENTS 5 8 INTERVENTION AND
SEASONAL DUMMIES 84 5 9 EXERCISES 85 6 THE STATISTICAL ANALYSIS OF 7(1)
MODELS 89 6 1 LIKELIHOOD ANALYSIS OF H(R) 89 6 2 MODELS FOR THE
DETERMINISTIC DRIFT TERMS 95 6 3 DETERMINATION OF COINTEGRATMG RANK 98 6
4 EXERCISES 100 7 HYPOTHESIS TESTING FOR THE LONG RUN COEFFICIENTS /3
104 7 1 DEGREES OF FREEDOM 104 7 2 LINEAR RESTRICTIONS ON /3 106 7 3
ILLUSTRATIVE EXAMPLES 112 7 4 EXERCISES 120 8 PARTIAL SYSTEMS AND
HYPOTHESES ON A 121 81 PARTIAL SYSTEMS 121 8 2 TEST O/ RESTRICTIONS ON A
124 8 3 THE DUALITY BETWEEN (3 AND AJ. 128 8 4 EXERCISES 131 9 THE 7(2)
MODEL AND A TEST FOR 7(2) 132 9 1 A STATISTICAL MODEL FOR 7(2) 132 9 2 A
MISSPECIFICATION TEST FOR THE PRESENCE OF 7(2) 134 9 3 A TEST FOR 7(2)
IN THE AUSTRALIAN DATA 137 PART II THE PROBABILITY ANALYSIS OF
COINTEGRATION 10 PROBABILITY PROPERTIES OF 7(1) PROCESSES 141 10 1
FINITE SAMPLE RESULTS 141 10 2 ASYMPTOTIC RESULTS 143 10 3 EXERCISES 149
11 THE ASYMPTOTIC DISTRIBUTION OF THE TEST FOR COINTEGRATMG RANK 151 11
1 TESTING II = 0 IN THE BASIC MODEL 151 11 2 THE LIMIT DISTRIBUTION OF
THE TEST FOR COINTEGRATMG RANK 156 113 ASYMPTOTIC PROPERTIES OF THE TEST
FOR 7(2) 163 114 EXERCISES 164 12 DETERMINATION OF COINTEGRATMG RANK 167
12 1 MODEL WITHOUT DETERMINISTIC TERM 168 CONTENTS IX 12 2 MODEL WITH A
CONSTANT TERM 170 12 3 MODELS WITH A LINEAR TERM 175 12 4 EXERCISES 176
13 ASYMPTOTIC PROPERTIES OF THE ESTIMATORS 177 13 1 THE MIXED GAUSSIAN
DISTRIBUTION YLL 13 2 A CONVENIENT NORMALIZATION OF F3 179 13 3
CONSISTENCY OF THE ESTIMATORS 180 13 4 ASYMPTOTIC DISTRIBUTION OF /3 AND
A 181 13 5 MORE ASYMPTOTIC DISTRIBUTIONS 187 13 6 LIKELIHOOD RATIO TEST
FOR HYPOTHESES ON THE LONG RUN COEFFICIENTS /? 192 13 7 EXERCISES 19 6
14 THE POWER FUNCTION OF THE TEST FOR COINTEGRATMG RANK UNDER LOCAL
ALTERNATIVES 201 14 1 LOCAL ALTERNATIVES 201 14 2 PROPERTIES UNDER OF
THE PROCESS UNDER LOCAL ALTERNATIVES 202 14 3 THE LOCAL POWER OF THE
TRACE TEST 206 14 4 EXERCISES 209 15 SIMULATIONS AND TABLES 211 15 1
SIMULATION OF THE LIMIT DISTRIBUTION 211 15 2 SIMULATIONS OF THE POWER
FUNCTION 212 15 3 TABLES 214 PART III APPENDICES A SOME MATHEMATICAL
RESULTS 219 A 1 EIGENVALUES AND EIGENVECTORS 219 A 2 THE BINOMIAL
FORMULA FOR MATRICES 228 A 3 THE MULTIVANATE GAUSSIAN DISTRIBUTION 233 A
4 PRINCIPAL COMPONENTS AND CANONICAL CORRELATIONS 237 B WEAK CONVERGENCE
OF PROBABILITY MEASURES ON BP AND C[0,L] 239 B 1 WEAK CONVERGENCE ON R P
239 B 2 WEAK CONVERGENCE ON C[0, 1] 241 B 3 CONSTRUCTION OF MEASURES ON
C[0, 1] 244 B 4 TIGHTNESS AND PROHOROV S THEOREM 245 X CONTENTS B 5
CONSTRUCTION OF BROWNIAN MOTION 247 B 6 STOCHASTIC INTEGRALS WITH
RESPECT TO BROWNIAN MOTION 248 B 7 SOME USEFUL RESULTS FOR LINEAR
PROCESSES 250 REFERENCES 255 SUBJECT INDEX 261 AUTHOR INDEX 266
|
| adam_txt |
LIKELIHOOD-BASED INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS
S0REN JOHANSEN OXFORD UNIVERSITY/PRESS 1995 CONTENTS PART I THE
STATISTICAL ANALYSIS OF COINTEGRATION 1 INTRODUCTION 3 1 1 THE VECTOR
AUTOREGRESSIVE MODEL 4 1 2 BUILDING STATISTICAL MODELS 5 13 ILLUSTRATIVE
EXAMPLES 7 1 4 AN OUTLINE OF THE CONTENTS 8 1 5 SOME FURTHER PROBLEMS 10
2 THE VECTOR AUTOREGRESSIVE MODEL 11 2 1 THE VECTOR AUTOREGRESSIVE
PROCESS 11 2 2 THE STATISTICAL ANALYSIS OF THE VAR 17 2 3
MTSSPECIFICATION TESTS 20 2 4 JTIE ILLUSTRATIVE EXAMPLES 23 3 BASIC
DEFINITIONS AND CONCEPTS 34 3 1 COINTEGRATION AND COMMON TRENDS 34 3 2
EXERCISES 42 4 COINTEGRATION AND REPRESENTATION OF INTEGRATED VARIABLES
45 4 1 FROM AR TO MA REPRESENTATION FOR 7(1) VARIABLES 45 4 2 JTYIOM MA
TO AR REPRESENTATION FOR 7(1) VARIABLES 54 4 3 THE MA REPRESENTATION OF
7(2) VARIABLES 56 4 4 EXERCISES 61 5 THE 7(1) MODELS AND THEIR
INTERPRETATION 70 5 1 THE 7(1) MODELS FOR COINTEGRATION 70 5 2 77IE
PARAMETNZATION OF THE 7(1) MODEL 71 5 3 HYPOTHESES ON THE LONG RUN
COEFFICIENTS (3 72 5 4 HYPOTHESES ON THE ADJUSTMENT COEFFICIENTS A 77 5
5 THE STRUCTURAL ERROR CORRECTION MODEL 78 5 6 GENERAL HYPOTHESES 79 5 7
MODELS FOR DETERMINISTIC TERMS 80 VIU CONTENTS 5 8 INTERVENTION AND
SEASONAL DUMMIES 84 5 9 EXERCISES 85 6 THE STATISTICAL ANALYSIS OF 7(1)
MODELS 89 6 1 LIKELIHOOD ANALYSIS OF H(R) 89 6 2 MODELS FOR THE
DETERMINISTIC DRIFT TERMS 95 6 3 DETERMINATION OF COINTEGRATMG RANK 98 6
4 EXERCISES 100 7 HYPOTHESIS TESTING FOR THE LONG RUN COEFFICIENTS /3
104 7 1 DEGREES OF FREEDOM 104 7 2 LINEAR RESTRICTIONS ON /3 106 7 3
ILLUSTRATIVE EXAMPLES 112 7 4 EXERCISES 120 8 PARTIAL SYSTEMS AND
HYPOTHESES ON A 121 81 PARTIAL SYSTEMS 121 8 2 TEST O/ RESTRICTIONS ON A
124 8 3 THE DUALITY BETWEEN (3 AND AJ. 128 8 4 EXERCISES 131 9 THE 7(2)
MODEL AND A TEST FOR 7(2) 132 9 1 A STATISTICAL MODEL FOR 7(2) 132 9 2 A
MISSPECIFICATION TEST FOR THE PRESENCE OF 7(2) 134 9 3 A TEST FOR 7(2)
IN THE AUSTRALIAN DATA 137 PART II THE PROBABILITY ANALYSIS OF
COINTEGRATION 10 PROBABILITY PROPERTIES OF 7(1) PROCESSES 141 10 1
FINITE SAMPLE RESULTS 141 10 2 ASYMPTOTIC RESULTS 143 10 3 EXERCISES 149
11 THE ASYMPTOTIC DISTRIBUTION OF THE TEST FOR COINTEGRATMG RANK 151 11
1 TESTING II = 0 IN THE BASIC MODEL 151 11 2 THE LIMIT DISTRIBUTION OF
THE TEST FOR COINTEGRATMG RANK 156 113 ASYMPTOTIC PROPERTIES OF THE TEST
FOR 7(2) 163 114 EXERCISES 164 12 DETERMINATION OF COINTEGRATMG RANK 167
12 1 MODEL WITHOUT DETERMINISTIC TERM 168 CONTENTS IX 12 2 MODEL WITH A
CONSTANT TERM 170 12 3 MODELS WITH A LINEAR TERM 175 12 4 EXERCISES 176
13 ASYMPTOTIC PROPERTIES OF THE ESTIMATORS 177 13 1 THE MIXED GAUSSIAN
DISTRIBUTION YLL 13 2 A CONVENIENT NORMALIZATION OF F3 179 13 3
CONSISTENCY OF THE ESTIMATORS 180 13 4 ASYMPTOTIC DISTRIBUTION OF /3 AND
A 181 13 5 MORE ASYMPTOTIC DISTRIBUTIONS 187 13 6 LIKELIHOOD RATIO TEST
FOR HYPOTHESES ON THE LONG RUN COEFFICIENTS /? 192 13 7 EXERCISES 19 6
14 THE POWER FUNCTION OF THE TEST FOR COINTEGRATMG RANK UNDER LOCAL
ALTERNATIVES 201 14 1 LOCAL ALTERNATIVES 201 14 2 PROPERTIES UNDER OF
THE PROCESS UNDER LOCAL ALTERNATIVES 202 14 3 THE LOCAL POWER OF THE
TRACE TEST 206 14 4 EXERCISES 209 15 SIMULATIONS AND TABLES 211 15 1
SIMULATION OF THE LIMIT DISTRIBUTION 211 15 2 SIMULATIONS OF THE POWER
FUNCTION 212 15 3 TABLES 214 PART III APPENDICES A SOME MATHEMATICAL
RESULTS 219 A 1 EIGENVALUES AND EIGENVECTORS 219 A 2 THE BINOMIAL
FORMULA FOR MATRICES 228 A 3 THE MULTIVANATE GAUSSIAN DISTRIBUTION 233 A
4 PRINCIPAL COMPONENTS AND CANONICAL CORRELATIONS 237 B WEAK CONVERGENCE
OF PROBABILITY MEASURES ON BP AND C[0,L] 239 B 1 WEAK CONVERGENCE ON R P
239 B 2 WEAK CONVERGENCE ON C[0, 1] 241 B 3 CONSTRUCTION OF MEASURES ON
C[0, 1] 244 B 4 TIGHTNESS AND PROHOROV S THEOREM 245 X CONTENTS B 5
CONSTRUCTION OF BROWNIAN MOTION 247 B 6 STOCHASTIC INTEGRALS WITH
RESPECT TO BROWNIAN MOTION 248 B 7 SOME USEFUL RESULTS FOR LINEAR
PROCESSES 250 REFERENCES 255 SUBJECT INDEX 261 AUTHOR INDEX 266 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Johansen, Søren |
| author_facet | Johansen, Søren |
| author_role | aut |
| author_sort | Johansen, Søren |
| author_variant | s j sj |
| building | Verbundindex |
| bvnumber | BV021939361 |
| callnumber-first | H - Social Science |
| callnumber-label | HB141 |
| callnumber-raw | HB141 |
| callnumber-search | HB141 |
| callnumber-sort | HB 3141 |
| callnumber-subject | HB - Economic Theory and Demography |
| classification_rvk | QH 237 QH 300 SK 980 |
| ctrlnum | (OCoLC)34077043 (DE-599)BVBBV021939361 |
| dewey-full | 330/.01/5195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330/.01/5195 |
| dewey-search | 330/.01/5195 |
| dewey-sort | 3330 11 45195 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV021939361 |
| illustrated | Illustrated |
| index_date | 2024-07-02T16:06:49Z |
| indexdate | 2024-07-09T20:47:50Z |
| institution | BVB |
| isbn | 0198774494 0198774508 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015154511 |
| oclc_num | 34077043 |
| open_access_boolean | |
| owner | DE-706 |
| owner_facet | DE-706 |
| physical | X, 267 S. graph. Darst. |
| publishDate | 1995 |
| publishDateSearch | 1995 |
| publishDateSort | 1995 |
| publisher | Oxford Univ. Press |
| record_format | marc |
| series2 | Advanced texts in econometrics |
| spelling | Johansen, Søren Verfasser aut Likelihood based inference in cointegrated vector autoregressive models Soeren Johansen Oxford [u.a.] Oxford Univ. Press 1995 X, 267 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Advanced texts in econometrics Literaturverz. S. [255] - 260 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. Afleiding (logica) gtt Econometrie gtt Estatistica aplicada a economia larpcal Inferencia estatistica larpcal Multivariabele systemen gtt Statistiek gtt Statistische analyse gtt Tijdreeksen gtt Statistik Ökonometrisches Modell Autoregression (Statistics) Econometric models Maximum-Likelihood-Schätzung (DE-588)4194624-8 gnd rswk-swf Nichtstationäre Zeitreihenanalyse (DE-588)4300599-8 gnd rswk-swf Wahrscheinlichkeitsmaß (DE-588)4137556-7 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf Vektor-autoregressives Modell (DE-588)4288533-4 gnd rswk-swf Kointegration (DE-588)4347470-6 gnd rswk-swf Statistik (DE-588)4056995-0 s DE-604 Maximum-Likelihood-Schätzung (DE-588)4194624-8 s 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 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015154511&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Johansen, Søren Likelihood based inference in cointegrated vector autoregressive models Afleiding (logica) gtt Econometrie gtt Estatistica aplicada a economia larpcal Inferencia estatistica larpcal Multivariabele systemen gtt Statistiek gtt Statistische analyse gtt Tijdreeksen gtt Statistik Ökonometrisches Modell Autoregression (Statistics) Econometric models Maximum-Likelihood-Schätzung (DE-588)4194624-8 gnd Nichtstationäre Zeitreihenanalyse (DE-588)4300599-8 gnd Wahrscheinlichkeitsmaß (DE-588)4137556-7 gnd Statistik (DE-588)4056995-0 gnd Vektor-autoregressives Modell (DE-588)4288533-4 gnd Kointegration (DE-588)4347470-6 gnd |
| subject_GND | (DE-588)4194624-8 (DE-588)4300599-8 (DE-588)4137556-7 (DE-588)4056995-0 (DE-588)4288533-4 (DE-588)4347470-6 |
| title | Likelihood based inference in cointegrated vector autoregressive models |
| 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 Soeren Johansen |
| title_fullStr | Likelihood based inference in cointegrated vector autoregressive models Soeren Johansen |
| title_full_unstemmed | Likelihood based inference in cointegrated vector autoregressive models Soeren Johansen |
| title_short | Likelihood based inference in cointegrated vector autoregressive models |
| title_sort | likelihood based inference in cointegrated vector autoregressive models |
| topic | Afleiding (logica) gtt Econometrie gtt Estatistica aplicada a economia larpcal Inferencia estatistica larpcal Multivariabele systemen gtt Statistiek gtt Statistische analyse gtt Tijdreeksen gtt Statistik Ökonometrisches Modell Autoregression (Statistics) Econometric models Maximum-Likelihood-Schätzung (DE-588)4194624-8 gnd Nichtstationäre Zeitreihenanalyse (DE-588)4300599-8 gnd Wahrscheinlichkeitsmaß (DE-588)4137556-7 gnd Statistik (DE-588)4056995-0 gnd Vektor-autoregressives Modell (DE-588)4288533-4 gnd Kointegration (DE-588)4347470-6 gnd |
| topic_facet | Afleiding (logica) Econometrie Estatistica aplicada a economia Inferencia estatistica Multivariabele systemen Statistiek Statistische analyse Tijdreeksen Statistik Ökonometrisches Modell Autoregression (Statistics) Econometric models Maximum-Likelihood-Schätzung Nichtstationäre Zeitreihenanalyse Wahrscheinlichkeitsmaß Vektor-autoregressives Modell Kointegration |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015154511&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT johansensøren likelihoodbasedinferenceincointegratedvectorautoregressivemodels |