Likelihood-based inference in cointegrated vector autoregressive models /
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.
| Основен автор: | Johansen, S©ıren, 1939- |
|---|---|
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
Oxford ; New York :
Oxford University Press,
1995.
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| Серия: |
Advanced texts in econometrics.
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| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=273573 |
| Подобни документи: |
Print version::
Likelihood-based inference in cointegrated vector autoregressive models. |
| Резюме: |
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. |
|---|---|
| Физически характеристики: |
1 online resource (x, 267 pages) : illustrations. |
| Библиография: |
Includes bibliographical references (pages 255-260) and indexes. |
| ISBN: |
9780191525063 0191525065 9780198774501 0198774508 |