Likelihood-based Inference in Cointegrated Vector Autoregressive Models
Title | Likelihood-based Inference in Cointegrated Vector Autoregressive Models PDF eBook |
Author | Søren Johansen |
Publisher | Oxford University Press, USA |
Pages | 280 |
Release | 1995 |
Genre | Business & Economics |
ISBN | 0198774508 |
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.
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Title | Likelihood-Based Inference in Cointegrated Vector Autoregressive Models PDF eBook |
Author | Soren Johansen |
Publisher | |
Pages | 278 |
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Title | Likelihood-Based Inference in Cointegrated Vector Autoregressive Models PDF eBook |
Author | Soren Johansen |
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Pages | 0 |
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Title | Likelihood-Based Inference in Cointegrated Vector Autoregressive Models PDF eBook |
Author | Søren Johansen |
Publisher | OUP Oxford |
Pages | 278 |
Release | 1995-12-28 |
Genre | Business & Economics |
ISBN | 0191525065 |
This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had gained popularity because it can at the same time capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series. It also allows relevant economic questions to be formulated in a consistent statistical framework. Part I of the book is planned so that it can be used by those who want to apply the methods without going into too much detail about the probability theory. The main emphasis is on the derivation of estimators and test statistics through a consistent use of the Guassian likelihood function. It is shown that many different models can be formulated within the framework of the autoregressive model and the interpretation of these models is discussed in detail. In particular, models involving restrictions on the cointegration vectors and the adjustment coefficients are discussed, as well as the role of the constant and linear drift. In Part II, the asymptotic theory is given the slightly more general framework of stationary linear processes with i.i.d. innovations. Some useful mathematical tools are collected in Appendix A, and a brief summary of weak convergence in given in Appendix B. The book is intended to give a relatively self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. The asymptotic theory requires some familiarity with the theory of weak convergence of stochastic processes. The theory is treated in detail with the purpose of giving the reader a working knowledge of the techniques involved. Many exercises are provided. The theoretical analysis is illustrated with the empirical analysis of two sets of economic data. The theory has been developed in close contract with the application and the methods have been implemented in the computer package CATS in RATS as a result of a rcollaboation with Katarina Juselius and Henrik Hansen.
Workbook on Cointegration
Title | Workbook on Cointegration PDF eBook |
Author | Peter Reinhard Hansen |
Publisher | Oxford University Press, USA |
Pages | 178 |
Release | 1998 |
Genre | Business & Economics |
ISBN | 9780198776086 |
Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.
Inference in Cointegrated Var Models
Title | Inference in Cointegrated Var Models PDF eBook |
Author | Alessandra Canepa |
Publisher | LAP Lambert Academic Publishing |
Pages | 172 |
Release | 2009-10 |
Genre | |
ISBN | 9783838314693 |
Obtaining reliable inference procedures is one of the main challenges of econometric research. Test statistics are usually based on applications of the central limit theorem. However, in order to work well the first order asymptotic approximation requires that the asymptotic distribution is an accurate approximation to the finite sample distribution. When dealing with time series models, this is not generally the case. In this book we investigate the small sample performance of various bootstrap based inference procedures when applied to vector autoregressive models. Special attention is given to Johansen s maximum likelihood method for conducting inference on cointegrated VAR models. Throughout the book, empirical applications are provided to illustrate the bootstrap method and its applications. The analysis should provide some guidance to practitioners in doubt about which inference procedure to use when dealing with cointegrated VAR models.
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
Title | Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model PDF eBook |
Author | Søren Johansen |
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Pages | |
Release | 2010 |
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