Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics)
By Søren Johansen.
Description
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...
ISBN(s)
0198774508, 9780198774501
