Workbook on cointegration

Author(s)

• Hansen, Peter Reinhard
• Johansen, Søren

Bibliographic Information

Workbook on cointegration

Peter Reinhard Hansen, Søren Johansen

（Advanced texts in econometrics）

Oxford University Press, 1998

• : pbk
• : hbk

Note

Includes bibliographical references (p. [161])

"Companion to the monograph by S. Johansen, Likelihood-based inference in cointegrated vector autoregressive models, 2nd edn, Oxford University Press (1996)."--Pref

Description and Table of Contents

Description

This workbook is a companion to the textbook Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, also published by Oxford University Press. The workbook contains exercises and solutions concerned with the theory of cointegration in the vector autoregressive model. The main text has been used for courses on Cointegration, and many of the exercises have been posed as either training exercises or exam questions. Many of them are challenging and summarize results published in the literature. Each chapter starts with a brief summary of the content of the corresponding chapter in the main text, which introduces the notation and the most important results.

Table of Contents

• 1. Introduction
• 2. The Vector Autoregressive Model
• 3. Basic Definitions and Concepts
• 4. Cointegration and Representation of Integrated Variables
• 5. The I (1) Models and Their Interpretation
• 6. The Statistical Analysis of I (1) Models
• 7. Hypothesis Testing for the Long-Run Coefficients beta
• 8. Hypothesis Testing for alpha
• 9. The I (2) Model and a Test for I (2)
• 10. Probability Properties of I (1) Processes
• 11. The Asymptotic Distribution of the Test for Cointegrating Rank
• 12. Determination of Cointegrating Rank
• 13. Asymptotic Properties of the Estimators
• 14. The Power Function of the Test for Cointegrating Rank under Local Alternatives
• References

by "Nielsen BookData"

Details

• NCID: BA3828412X
• ISBN:
  • 0198776071
  • 019877608X
• Country Code: uk
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Oxford, UK
• Pages/Volumes: 160 p.
• Size: 24 cm
• Classification:
  • DC21 : 330.015195
• Subject Headings:
  • LCSH : Cointegration
• Parent Bibliography ID:
  • BA12388775