rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Likelihood-based inference in cointegrated vector autoregressive models
  name:
    name part: Johansen, Søren
    name part: 1939-
    role:
      role term: creator
  type of resource: text
  genre: bibliography
  genre: Electronic books.
  origin info:
    place:
      place term: enk
    place:
      place term: Oxford
    place:
      place term: New York
    publisher: Oxford University Press
    date issued: 1995
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (x, 267 pages) : illustrations
  abstract: 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.
  table of contents: pt. I. The Statistical Analysis of Cointegration. 1. Introduction. 2. The Vector Autoregressive Model. 3. Basic Definitions and Concepts. 4. Cointegration and Representation of Integrated Variables. 5. The I(1) Models and their Interpretation. 6. The Statistical Analysis of I(1) Models. 7. Hypothesis Testing for the Long-Run Coefficients [beta]. 8. Partial Systems and Hypotheses on [alpha]. 9. The I(2) Model and a Test for I(2) -- pt. II. The Probability Analysis of Cointegration. 10. Probability Properties of I(1) Processes. 11. The Asymptotic Distribution of the Test for Cointegrating Rank. 12. Determination of Cointegrating Rank. 13. Asymptotic Properties of the Estimators. 14. The Power Function of the Test for Cointegrating Rank under Local Alternatives. 15. Simulations and Tables -- App. A. Some Mathematical Results -- App. B. Weak Convergence of Probability Measures on R[superscript P] and C[0,1].
  note: Søren Johansen.
  note: Includes bibliographical references (pages 255-260) and indexes.
  subject:
    topic: Econometric models
  subject:
    topic: Autoregression (Statistics)
  subject:
    topic: Modèles économétriques
  subject:
    topic: Autorégression (Statistique)
  subject:
    topic: BUSINESS & ECONOMICS
    topic: Econometrics
  subject:
    topic: BUSINESS & ECONOMICS
    topic: Statistics
  subject:
    topic: Autoregression (Statistics)
  subject:
    topic: Econometric models
  subject:
    topic: Tijdreeksen
  subject:
    topic: Multivariabele systemen
  subject:
    topic: Statistische analyse
  subject:
    topic: Afleiding (logica)
  subject:
    topic: Econometrie
  subject:
    topic: Statistiek
  subject:
    topic: Estatistica aplicada a economia
  subject:
    topic: Inferencia estatistica
  subject:
    topic: Econometrics
  subject:
    topic: econometrie
  subject:
    topic: wiskunde
  subject:
    topic: mathematics
  subject:
    topic: analyse
  subject:
    topic: analysis
  subject:
    topic: multivariate analyse
  subject:
    topic: multivariate analysis
  subject:
    topic: statistische inferentie
  subject:
    topic: statistical inference
  subject:
    topic: modellen
  subject:
    topic: models
  subject:
    topic: regressieanalyse
  subject:
    topic: regression analysis
  subject:
    topic: maximale aannemelijkheid
  subject:
    topic: maximum likelihood
  subject:
    topic: Multivariate Statistics
  subject:
    topic: Econometrie
  subject:
    topic: Multivariate statistiek
  classification: HB141 .J64 1995eb
  classification: 330/.01/5195
  classification: 83.03
  classification: QH 237
  classification: QH 300
  classification: SK 980
  related item:
    title info:
      title: Likelihood-based inference in cointegrated vector autoregressive models
    name:
      name part: Johansen, Søren, 1939-
    origin info:
      publisher: Oxford ; New York : Oxford University Press, 1995
    identifier: (DLC) 96136373
    identifier: (OCoLC)34077043
  related item:
    title info:
      title: Advanced texts in econometrics
  identifier: 9780191525063
  identifier: 0191525065
  identifier: 9780198774501
  identifier: 0198774508
  identifier: 9780191596476
  identifier: 0191596477
  identifier: 0198774494
  identifier: 9780198774495
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: N$T
    record creation date: 090605
    record change date: 20260318174620.6
    record identifier: in00005703938
    language of cataloging:
      language term: eng