Likelihood-based Inference in Cointegrated Vector Autoregressive Models
| Author | : Søren Johansen |
| Publisher | : Oxford University Press, USA |
| Total Pages | : 280 |
| Release | : 1995 |
| ISBN-10 | : 9780198774501 |
| ISBN-13 | : 0198774508 |
| Rating | : 4/5 (508 Downloads) |
Book Synopsis Likelihood-based Inference in Cointegrated Vector Autoregressive Models by : Søren Johansen
Download or read book Likelihood-based Inference in Cointegrated Vector Autoregressive Models written by Søren Johansen and published by Oxford University Press, USA. This book was released on 1995 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.