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4 edition of Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics) found in the catalog.

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics)

Soren Johansen

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics)

by Soren Johansen

  • 72 Want to read
  • 40 Currently reading

Published by Oxford University Press, USA .
Written in English


The Physical Object
Number of Pages278
ID Numbers
Open LibraryOL7402250M
ISBN 100198774494
ISBN 109780198774495

2 The Vector Autoregressive Model; Likelihood-Based Inference in Cointegrated Vector Autoregressive Models Public users can however freely search the site and view the abstracts and keywords for each book and chapter. Please, subscribe or login to access full text content. Read the full-text online edition of Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (). Home» Browse» Books» Book details, Likelihood-Based Inference in Cointegrated Vector.

The Vector Autoregressive Model The Vector Autoregressive Model Chapter: (p) 2 The Vector Autoregressive Model Source: Likelihood-Based Inference in Cointegrated Vector Autoregressive Models Author(s): Søren Johansen (Contributor Webpage) Publisher: Oxford University Press. Book Review: Johansen, Soren: Likelihood-based Inference in Cointegrated Vector Autoregressive Models Article in Scandinavian Journal of Economics 99(2) - December with 28 ReadsAuthor: Rolf Larsson.

Econometrica, Vol. 80, No. 6 (November, ), – LIKELIHOOD INFERENCE FOR A FRACTIONALLY COINTEGRATED VECTOR AUTOREGRESSIVE MODEL BY SØREN JOHANSEN AND MORTEN ØRREGAARD NIELSEN1 We consider model based inference in a fractionally cointegrated (or cofractional). Contains an overview of the monograph and discusses the statistical methodology of building and analysing statistical models and their likelihood function with the purpose of deriving estimators and tests. The vector autoregressive model is used because it allows a flexible statistical description of the data. It makes it possible to embed interesting economic hypotheses as parametric.


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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics) by Soren Johansen Download PDF EPUB FB2

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-stationary time by: Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics) by Johansen, Søren 1st edition () Paperback Paperback – January 1, out of 5 stars 3 ratings See all formats and editions/5(3).

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models book. Read reviews from world’s largest community for readers. In this book, Prof /5(3). LIKELIHOOD-BASED INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS Econometric Theory, 14,Printed in the United States of America.

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. 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 2/5(1). "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models" published on by Oxford University : Søren Johansen. LIKELIHOOD-BASED INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS S0REN JOHANSEN OXFORD UNIVERSITY/PRESS Contents PART I THE STATISTICAL ANALYSIS OF COINTEGRATION 1 Introduction 3 1 1 The vector autoregressive model 4 1 2 Building statistical models 5 13 Illustrative examples 7 1 4 An outline of the contents 8.

LIKELIHOOD-BASED INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS by Søren Johansen Oxford University Press, RREEEVVVIIIEEEWWWEEEDDDB BBYY YUUIIICCCHHHII KIITTTAAAMMMUUURRRAA University of Minnesota 1. INTRODUCTION Since the notion of cointegration was established by Engel and Granger~!,Cited by: 9.

Buy Likelihood-Based Inference In Cointegrated Vector Autoregressive Models (Advanced Texts In Econometrics) by Johansen, Søren (ISBN: ) from Amazon's Book Store.

Everyday low prices and free delivery on eligible orders/5(2). Summary This monograph, written by a leading statistician working in econometrics, gives a detailed mathematical and statistical analysis of the cointegrated vector autoregressive model. The book is a self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods.

The book contains the classic topics in cointegration (test for cointegration, and test for specification of the vector of cointegration alpha and beta vectors), have two parts the first more basic, explains the cointegration and tests for cointegration VAR, and the second part, contains advanced statistical analysis of cointegration VAR process (analytical distributions of Johansen tests, Wiener process, etc).

Description 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/5(3).

We consider model based inference in a fractionally cointegrated (or cofractional) vec-tor autoregressive model;based on the Gaussian likelihood conditional on initial values.

We give conditions on the parameters such that the process X t is fractional of order d and cofractional of order d b; that is, there exist vectors for which 0X t is. Summary: 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.

Get this from a library. Likelihood-based inference in cointegrated vector autoregressive models. [SŒren Johansen] -- This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of. Find helpful customer reviews and review ratings for Likelihood-Based Inference In Cointegrated Vector Autoregressive Models (Advanced Texts In Econometrics) at Read honest and unbiased product reviews from our users/5.

model based approaches to the analysis of cointegration are discussed. The vector autoregressive model is defined and the moving average representation of the solu-tion, the Granger representation, is given.

Next the interpretation of the model and its parameters and likelihood based inference follows using reduced rank regression. LIKELIHOOD-BASED INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS - Volume 14 Issue 4 - Yuichi Kitamura.

based on the Gaussian likelihood for a vector autoregression (VAR). Although this book and other papers of Johansen are mostly concerned with reduced form models, the statistical information provided by his method is useful for. Likelihood-Based Inference in Cointegrated Vector Autoregressive Models.

Soren Johansen (). in OUP Catalogue from Oxford University Press. Abstract: 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.

Find many great new & used options and get the best deals for Likelihood-Based Inference in Cointegrated Vector Autoregressive Models by Soren Johansen (Paperback, ) at .Author(s): Johansen, Soren.

Abstract: 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.The cointegrated VAR approach combines differences of variables with cointegration among them and by doing so allows the user to study both long-run and short-run effects in the same model.

The CVAR describes an economic system where variables have been pushed away from long-run equilibria by exogenous shocks (the pushing forces) and where short-run adjustments forces pull them back toward.