Likelihood-based inference in cointegrated vector autoregressive models
著者
書誌事項
Likelihood-based inference in cointegrated vector autoregressive models
（Advanced texts in econometrics）
Oxford University Press, 1995
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- : pbk
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注記
Paperback edition reprinted 1996: xii, 267 p.
Includes bibliographical references (p. [255]-260) and indexes
内容説明・目次
内容説明
This monograph, written by a leading statistician working in econometrics, gives a detailed mathematical and statistical analysis of the cointegrated vector autoregressive model. The book is a self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. The theoretical analysis is illustrated with the empirical analysis of two sets of economic data. The theory has been developed in close contact with the application and the methods have been implemented in the computer package CATS in RATS.
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