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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models.
・ISBN 978-0-19-877449-5 hard
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・ISBN 978-0-19-877450-1 paper GB£ 78.00
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電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-0-19-159647-6
| 著者・編者 | Johansen, Soren, |
|---|---|
| シリーズ | Advanced Texts in Econometrics |
| 出版社 | (Oxford U. Pr., UK) |
| 出版年月 | 1995 |
| ページ数 | 280 pp. |
| 言語 | ENG |
| ニュース番号 | ＜413-165 415-133＞ |
解説
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 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.