Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Johansen, Soren
Johansen, Sren
Johansen, S/Oren

Paperback

Series: Advanced Texts in Econometrics

EconomicsLiterary Criticism

ISBN10: 0198774508
ISBN13: 9780198774501
Publisher: OUP Oxford
Published: Feb 1 1996
Pages: 280
Weight: 0.88
Height: 0.60 Width: 6.14 Depth: 9.21
Language: English
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.

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