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

Johansen, Soren

Hardcover

ISBN 10: 0198774494 ISBN 13: 9780198774495

Verlag: Oxford University Press, 1996

Inhaltsangabe

This monograph, written by a leading statistician working in econometrics, gives a detailed mathematical and statistical analysis of the cointegrated vector autoregressive model. The book is a self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. 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.

Details zur Ausgabe

• Verlag: Oxford University Press
• Erscheinungsdatum: 1996
• Sprache: Englisch
• ISBN 10: 0198774494
• ISBN 13: 9780198774495
• Einband: Gebundene Ausgabe
• Anzahl der Seiten: 267
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: Ufficio Anagrafiche Messaggerie; ufficio.anagrafiche@meli.it; ; Via Verdi, 8; Assago Milano; 20090; Italien