Cointegrated var model, the: methodology and applications
Auteur :
Juselius, Katarina
Éditeur :
Oxford University Press
ISBN :
9780199285662
Date de publication :
7 déc. 2006
Dimensions :
25,3 x 17,6 x 3,5 cm
Poids :
998 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
Provides a comprehensive introduction to VAR modelling and how it can be applied. This book focuses on the properties of the cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. It provides insights into the links between statistical econometric modelling and economic theory.