Likelihood-based Inference in Cointegrated Vector Autoregressive Models
Download or Read eBook Likelihood-based Inference in Cointegrated Vector Autoregressive Models PDF 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.
| Author | : Søren Johansen |
| Publisher | : Oxford University Press, USA |
| Total Pages | : 280 |
| Release | : 1995 |
| ISBN-10 | : 9780198774501 |
| ISBN-13 | : 0198774508 |
| Rating | : 4/5 (01 Downloads) |
Book Synopsis Likelihood-based Inference in Cointegrated Vector Autoregressive Models by : Søren Johansen
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.
