Likelihood-based inference in cointegrated vector autoregressive models
Auteur :
Johansen, Søren
Éditeur :
Oxford University Press
ISBN :
9780198774501
Date de publication :
28 déc. 1995
Dimensions :
23,4 x 15,6 x 1,6 cm
Poids :
425 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
Professor Johansen gives a detailed mathematical and statistical analysis of the co-integrated vector autoregressive model in a self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. Many exercises are provided.