The Cointegrated Var Model
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Author |
: Katarina Juselius |
Publisher |
: OUP Oxford |
Total Pages |
: 478 |
Release |
: 2006-12-07 |
ISBN-10 |
: 9780191622960 |
ISBN-13 |
: 0191622966 |
Rating |
: 4/5 (60 Downloads) |
Synopsis The Cointegrated VAR Model by : Katarina Juselius
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 into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Author |
: Katarina Juselius |
Publisher |
: Oxford University Press, USA |
Total Pages |
: 478 |
Release |
: 2006-12-07 |
ISBN-10 |
: 9780199285662 |
ISBN-13 |
: 0199285667 |
Rating |
: 4/5 (62 Downloads) |
Synopsis The Cointegrated VAR Model by : Katarina Juselius
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 into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of thecommon stochastic trends and the impulse response functions, providing in each case illustrations of applicability.This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory whilealso revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Author |
: Søren Johansen |
Publisher |
: Oxford University Press, USA |
Total Pages |
: 280 |
Release |
: 1995 |
ISBN-10 |
: 9780198774501 |
ISBN-13 |
: 0198774508 |
Rating |
: 4/5 (01 Downloads) |
Synopsis Likelihood-based Inference in Cointegrated Vector Autoregressive Models by : Søren Johansen
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.
Author |
: Constantin Colonescu |
Publisher |
: Lulu.com |
Total Pages |
: 278 |
Release |
: 2017-12-28 |
ISBN-10 |
: 9781387473618 |
ISBN-13 |
: 1387473611 |
Rating |
: 4/5 (18 Downloads) |
Synopsis Using R for Principles of Econometrics by : Constantin Colonescu
This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition. 'Using R for Principles of Econometrics' requires no previous knowledge in econometrics or R programming, but elementary notions of statistics are helpful.
Author |
: Bernhard Pfaff |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 193 |
Release |
: 2008-09-03 |
ISBN-10 |
: 9780387759678 |
ISBN-13 |
: 0387759670 |
Rating |
: 4/5 (78 Downloads) |
Synopsis Analysis of Integrated and Cointegrated Time Series with R by : Bernhard Pfaff
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Author |
: Lutz Kilian |
Publisher |
: Cambridge University Press |
Total Pages |
: 757 |
Release |
: 2017-11-23 |
ISBN-10 |
: 9781107196575 |
ISBN-13 |
: 1107196574 |
Rating |
: 4/5 (75 Downloads) |
Synopsis Structural Vector Autoregressive Analysis by : Lutz Kilian
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Author |
: Helmut Lütkepohl |
Publisher |
: Cambridge University Press |
Total Pages |
: 351 |
Release |
: 2004-08-02 |
ISBN-10 |
: 9781139454735 |
ISBN-13 |
: 1139454730 |
Rating |
: 4/5 (35 Downloads) |
Synopsis Applied Time Series Econometrics by : Helmut Lütkepohl
Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
Author |
: Helmut Lütkepohl |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 556 |
Release |
: 2013-04-17 |
ISBN-10 |
: 9783662026915 |
ISBN-13 |
: 3662026910 |
Rating |
: 4/5 (15 Downloads) |
Synopsis Introduction to Multiple Time Series Analysis by : Helmut Lütkepohl
Author |
: Peter Reinhard Hansen |
Publisher |
: Oxford University Press, USA |
Total Pages |
: 178 |
Release |
: 1998 |
ISBN-10 |
: 019877608X |
ISBN-13 |
: 9780198776086 |
Rating |
: 4/5 (8X Downloads) |
Synopsis Workbook on Cointegration by : Peter Reinhard Hansen
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.
Author |
: Olaf Hübler |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 236 |
Release |
: 2007-04-29 |
ISBN-10 |
: 9783540326939 |
ISBN-13 |
: 3540326936 |
Rating |
: 4/5 (39 Downloads) |
Synopsis Modern Econometric Analysis by : Olaf Hübler
In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.