Likelihood-based Inference in Cointegrated Vector Autoregressive Models PDF Download
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Author: Søren Johansen
Publisher: Oxford University Press, USA
ISBN: 0198774508
Category : Business & Economics
Languages : en
Pages : 280
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Book Description
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.
Author: Søren Johansen
Publisher: Oxford University Press, USA
ISBN: 0198774508
Category : Business & Economics
Languages : en
Pages : 280
Get Book Here
Book Description
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.
Author: Soren Johansen
Publisher:
ISBN:
Category :
Languages : en
Pages : 278
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Book Description
Author: Soren Johansen
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: Niklas Ahlgren
Publisher:
ISBN: 9789515557483
Category :
Languages : en
Pages : 19
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The folder may include clippings, announcements, small exhibition catalogs, and other ephemeral items.
Author: Hans-Martin Krolzig
Publisher: Springer Science & Business Media
ISBN: 364251684X
Category : Business & Economics
Languages : en
Pages : 369
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Book Description
This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have become popular for modelling non-linearities and regime shifts, mainly, in univariate eco nomic time series. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model. The study presents a comprehensive analysis of the theoretical properties of Markov-switching vector autoregressive processes and the related statistical methods. The statistical concepts are illustrated with applications to empirical business cyde research. This monograph is a revised version of my dissertation which has been accepted by the Economics Department of the Humboldt-University of Berlin in 1996. It con sists mainly of unpublished material which has been presented during the last years at conferences and in seminars. The major parts of this study were written while I was supported by the Deutsche Forschungsgemeinschajt (DFG), Berliner Graduier tenkolleg Angewandte Mikroökonomik and Sondeiforschungsbereich 373 at the Free University and Humboldt-University of Berlin. Work was finally completed in the project The Econometrics of Macroeconomic Forecasting founded by the Economic and Social Research Council (ESRC) at the Institute of Economies and Statistics, University of Oxford. It is a pleasure to record my thanks to these institutions for their support of my research embodied in this study.
Author: Katarina Juselius
Publisher: OUP Oxford
ISBN: 0191622966
Category : Business & Economics
Languages : en
Pages : 478
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Book Description
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Author: Peter Reinhard Hansen
Publisher: Oxford University Press, USA
ISBN: 9780198776086
Category : Business & Economics
Languages : en
Pages : 178
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Book Description
Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.
Author: Alessandra Canepa
Publisher: LAP Lambert Academic Publishing
ISBN: 9783838314693
Category :
Languages : en
Pages : 172
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Book Description
Obtaining reliable inference procedures is one of the main challenges of econometric research. Test statistics are usually based on applications of the central limit theorem. However, in order to work well the first order asymptotic approximation requires that the asymptotic distribution is an accurate approximation to the finite sample distribution. When dealing with time series models, this is not generally the case. In this book we investigate the small sample performance of various bootstrap based inference procedures when applied to vector autoregressive models. Special attention is given to Johansen s maximum likelihood method for conducting inference on cointegrated VAR models. Throughout the book, empirical applications are provided to illustrate the bootstrap method and its applications. The analysis should provide some guidance to practitioners in doubt about which inference procedure to use when dealing with cointegrated VAR models.
Author: Helmut Lütkepohl
Publisher: Cambridge University Press
ISBN: 1139454730
Category : Business & Economics
Languages : en
Pages : 351
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Book Description
Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
