The cointegrated VAR model: methodology and applications Juselius, Katarina

By:

Juselius, Katarina

Series: Advanced texts in econometricsPublication details: 2006 Oxford University Press Oxford Description: xx, 457 pISBN:

9780199285679

Subject(s):

DDC classification:

330.0151563 J8C6

Summary: 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.

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode	Item holds
Book	Ahmedabad General Stacks	Non-fiction	330.0151563 J8C6 (Browse shelf(Opens below))	Available		179616

Total holds: 0

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.

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