Likelihood-based Inference on Cointegrated Vector Autoregressive Models
Author:   Soren Johansen
Publisher:   Oxford University Press
ISBN:  

9780198774495


Pages:   278
Publication Date:   01 December 1995
Format:   Hardback
Availability:   To order   Availability explained
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Likelihood-based Inference on Cointegrated Vector Autoregressive Models


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Overview

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.

Full Product Details

Author:   Soren Johansen
Publisher:   Oxford University Press
Imprint:   Oxford University Press
Dimensions:   Width: 15.00cm , Height: 2.00cm , Length: 23.00cm
Weight:   0.568kg
ISBN:  

9780198774495


ISBN 10:   0198774494
Pages:   278
Publication Date:   01 December 1995
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   To order   Availability explained
Stock availability from the supplier is unknown. We will order it for you and ship this item to you once it is received by us.

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