Likelihood Based Inference In Cointegrated Vector Autoregressive Models
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Likelihood Based Inference In Cointegrated Vector Autoregressive Models
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Author : Soren Johansen
language : en
Publisher:
Release Date :
Likelihood Based Inference In Cointegrated Vector Autoregressive Models written by Soren Johansen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Likelihood Based Inference In Cointegrated Vector Autoregressive Models
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Author : Søren Johansen
language : en
Publisher: OUP Oxford
Release Date : 1995-12-28
Likelihood Based Inference In Cointegrated Vector Autoregressive Models written by Søren Johansen and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-12-28 with Business & Economics categories.
This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had 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-stationary time series. It also allows relevant economic questions to be formulated in a consistent statistical framework. Part I of the book is planned so that it can be used by those who want to apply the methods without going into too much detail about the probability theory. The main emphasis is on the derivation of estimators and test statistics through a consistent use of the Guassian likelihood function. It is shown that many different models can be formulated within the framework of the autoregressive model and the interpretation of these models is discussed in detail. In particular, models involving restrictions on the cointegration vectors and the adjustment coefficients are discussed, as well as the role of the constant and linear drift. In Part II, the asymptotic theory is given the slightly more general framework of stationary linear processes with i.i.d. innovations. Some useful mathematical tools are collected in Appendix A, and a brief summary of weak convergence in given in Appendix B. The book is intended to give a relatively self-contained 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. 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 contract with the application and the methods have been implemented in the computer package CATS in RATS as a result of a rcollaboation with Katarina Juselius and Henrik Hansen.
Likelihood Based Inference In Cointegrated Vector Autoregressive Models
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FREE 30 Days
Author : Soren Johansen
language : en
Publisher:
Release Date :
Likelihood Based Inference In Cointegrated Vector Autoregressive Models written by Soren Johansen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Likelihood Based Inference In Cointegrated Vector Autoregressive Models
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Author : Søren Johansen
language : en
Publisher: Oxford University Press on Demand
Release Date : 1995
Likelihood Based Inference In Cointegrated Vector Autoregressive Models written by Søren Johansen and has been published by Oxford University Press on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Business & Economics categories.
This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Workbook On Cointegration
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Author : Peter Reinhard Hansen
language : en
Publisher: Oxford University Press, USA
Release Date : 1998
Workbook On Cointegration written by Peter Reinhard Hansen and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Business & Economics categories.
Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.
Estimation And Inference In Short Panel Vector Autoregressions With Unit Roots And Cointegration
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Author : Michael Binder
language : en
Publisher:
Release Date : 2000
Estimation And Inference In Short Panel Vector Autoregressions With Unit Roots And Cointegration written by Michael Binder and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Autoregression (Statistics) categories.
The Cointegrated Var Model
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Author : Katarina Juselius
language : en
Publisher: OUP Oxford
Release Date : 2006-12-07
The Cointegrated Var Model written by Katarina Juselius and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-12-07 with Business & Economics categories.
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Applied Time Series Econometrics
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Author : Helmut Lütkepohl
language : en
Publisher: Cambridge University Press
Release Date : 2004-08-02
Applied Time Series Econometrics written by Helmut Lütkepohl and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-08-02 with Business & Economics categories.
Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
Analysis Of Integrated And Cointegrated Time Series With R
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Author : Bernhard Pfaff
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-09-03
Analysis Of Integrated And Cointegrated Time Series With R written by Bernhard Pfaff and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09-03 with Business & Economics categories.
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Structural Vector Autoregressive Analysis
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Author : Lutz Kilian
language : en
Publisher: Cambridge University Press
Release Date : 2017-11-23
Structural Vector Autoregressive Analysis written by Lutz Kilian and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-23 with Business & Economics categories.
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.