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Likelihood-based Inference in Cointegrated Vector Autoregressive Models

Likelihood-based Inference in Cointegrated Vector Autoregressive Models PDF 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.