Author: Johansen, Søren
Title: Likelihood-based Inference in Cointegrated Vector Autoregressive Models
Description: Oxford, Oxford University Press, 1995. orig.cloth, dustwrapper.. 24x15cm, x,267 pp.. Minor rubbing. Name on flyleaf. VG. ¶ This monograph, written by a leading statistician working in econometrics,gives a detailed mathematical and statistical analysis of the cointegrated vector autoregressive model. The book is a self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. The theoretical analysis is illustrated with the empirical analysis of two sets of economic data" - Publisher's description.

Keywords: Econometric Models, Autoregression, Statistics, Econometrics, , , , ,