Likelihood-based inference in cointegrated vector autoregressive models

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Title:

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)

Copies:

Available:*

Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	33168025472347	330.015195 J65L 1995	1	Searching... Unknown

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Summary

In this book, Professor Johansen, a leading statistician working in econometrics, gives a detailed mathematical and statistical analysis of the cointegrated vector autoregressive model, which has been gaining in popularity. The book is a self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. The theory is treated in detail to give the reader a working knowledge of the techniques involved, and many exercises are provided. 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.