(eBook/PDF) Likelihood Based Inference In Cointegrated Vector Autoregressive Models Online

Language: en
Pages: 280

Likelihood-based Inference in Cointegrated Vector Autoregressive Models

Authors: Søren Johansen

Categories: Business & Economics

Type: BOOK - Published: 1995 - Publisher: Oxford University Press on Demand

This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegrat

Language: en
Pages: 0

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Authors: Soren Johansen

Categories:

Type: BOOK - Published: - Publisher:

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Language: en
Pages: 278

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Authors: Søren Johansen

Categories: Business & Economics

Type: BOOK - Published: 1995-12-28 - Publisher: OUP Oxford

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This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had gained popularity because it can