http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
Likelihood-based inference in cointegrated vector autoregressive models
1 online resource (x, 267 pages) : illustrations
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.
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].
Includes bibliographical references (pages 255-260) and indexes.
Oxford ; New York : Oxford University Press, 1995