The cointegrated VAR model: methodology and applications
Juselius, Katarina
The cointegrated VAR model: methodology and applications Juselius, Katarina - Oxford Oxford University Press 2006 - xx, 457 p. - Advanced texts in econometrics .
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.
9780199285679
Econometric models
Autoregression (Statistics)
Vector analysis
Cointegration
330.0151563 / J8C6
The cointegrated VAR model: methodology and applications Juselius, Katarina - Oxford Oxford University Press 2006 - xx, 457 p. - Advanced texts in econometrics .
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.
9780199285679
Econometric models
Autoregression (Statistics)
Vector analysis
Cointegration
330.0151563 / J8C6