Likelihood-based inference in cointegrated vector autoregressive models
by
Johansen, Søren, 1939-
Title
:
Likelihood-based inference in cointegrated vector autoregressive models
Author
:
Johansen, Søren, 1939-
ISBN
:
9780198774495
9780198774501
Personal Author
:
Johansen, Søren, 1939-
Publication Information
:
Oxford ; New York : Oxford University Press, 1995.
Physical Description
:
x, 267 p. : ill. ; 25 cm.
Series
:
Advanced texts in econometrics
Series Title
:
Advanced texts in econometrics
General Note
:
Includes indexes.
Contents
:
Pt. I. The Statistical Analysis of Cointegration. 1. Introduction. 2. The Vector Autoregressive Model. 3. Basic Definitions and Concepts. 4. Cointegration and Representation of Integrated Variables. 5. The I(1) Models and their Interpretation. 6. The Statistical Analysis of I(1) Models. 7. Hypothesis Testing for the Long-Run Coefficients [beta]. 8. Partial Systems and Hypotheses on [alpha]. 9. The I(2) Model and a Test for I(2) -- Pt. II. The Probability Analysis of Cointegration. 10. Probability Properties of I(1) Processes. 11. The Asymptotic Distribution of the Test for Cointegrating Rank. 12. Determination of Cointegrating Rank. 13. Asymptotic Properties of the Estimators. 14. The Power Function of the Test for Cointegrating Rank under Local Alternatives. 15. Simulations and Tables -- App. A. Some Mathematical Results -- App. B. Weak Convergence of Probability Measures on R[superscript P] and C[0,1].
Abstract
:
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-starionary 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.
Subject Term
:
Econometric models.
Autoregression (Statistics)
| Library | Material Type | Item Barcode | Shelf Number | Copy |
|---|
| 1:IIEMSA | 1:GEN-BOOK | 33168025472347 | 330.015195 J65L 1995 | 1 |