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Likelihood-based inference in cointegrated vector autoregressive models /

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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.

Bibliographic Details
Main Author: Johansen, Søren, 1939-
Format: eBook
Language:English
Published: Oxford ; New York : Oxford University Press, 1995.
Series:Advanced texts in econometrics.
Subjects:
Econometric models.
Autoregression (Statistics)
Modèles économétriques.
Autorégression (Statistique)
BUSINESS & ECONOMICS > Econometrics.
BUSINESS & ECONOMICS > Statistics.
Econometric models
Tijdreeksen.
Multivariabele systemen.
Statistische analyse.
Afleiding (logica)
Econometrie.
Statistiek.
Estatistica aplicada a economia.
Inferencia estatistica.
Econometrics
econometrie
wiskunde
mathematics
analyse
analysis
multivariate analyse
multivariate analysis
statistische inferentie
statistical inference
modellen
models
regressieanalyse
regression analysis
maximale aannemelijkheid
maximum likelihood
Multivariate Statistics
Econometrie
Multivariate statistiek
Electronic books.
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Call Number: HB141 .J64 1995eb
 
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HB141 .J64 1995eb Available