The cointegrated VAR model : methodology and applications /

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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...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Juselius, Katarina
Format: Electronic eBook
Language:Inglés
Published: Oxford ; New York : Oxford University Press, 2006.
Series:Advanced texts in econometrics.
Subjects:
Econometric models.
Autoregression (Statistics)
Vector analysis.
Cointegration.
Modèles économétriques.
Autorégression (Statistique)
Analyse vectorielle.
Cointégration.
BUSINESS & ECONOMICS > Economics > Theory.
Cointegration
Econometric models
Vector analysis
Online Access:Texto completo
Table of Contents:
  • Preface; Contents; I: Bridging economics and econometrics; II: Specifying the VAR model; III: Testing hypotheses on cointegration; IV: Identification; V: The I(2) model; VI: A methodological approach; Appendix A: The asymptotic tables for cointegration rank; Appendix B: A roadmap for writing an empirical paper; Bibliography; Index.

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