登入選單

返回Google圖書搜尋

Likelihood-based Inference in Cointegrated Vector Autoregressive Models

Professor Institute of Mathematical Statistics Soren JohansenSøren Johansen

出版	Oxford University Press, 1995
主題	Business & Economics / Econometrics
ISBN	01987744949780198774495
URL	http://books.google.com.hk/books?id=Za8LtAEACAAJ&hl=&source=gbs_api

註釋

In this book, Professor Johansen, a leading statistician working in econometrics, gives a detailed mathematical and statistical analysis of the cointegrated vector autoregressive model, which has been gaining in popularity. The book is a self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. The theory is treated in detail to give the reader a working knowledge of the techniques involved, and many exercises are provided. 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.