Likelihood Based Inference In Cointegrated Vector Autoregressive Models
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Author | : Søren Johansen |
Publisher | : OUP Oxford |
Total Pages | : 278 |
Release | : 1995-12-28 |
Genre | : Business & Economics |
ISBN | : 0191525065 |
Download Likelihood-Based Inference in Cointegrated Vector Autoregressive Models Book in PDF, Epub and Kindle
This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had gained popularity because it can at the same time capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series. It also allows relevant economic questions to be formulated in a consistent statistical framework. Part I of the book is planned so that it can be used by those who want to apply the methods without going into too much detail about the probability theory. The main emphasis is on the derivation of estimators and test statistics through a consistent use of the Guassian likelihood function. It is shown that many different models can be formulated within the framework of the autoregressive model and the interpretation of these models is discussed in detail. In particular, models involving restrictions on the cointegration vectors and the adjustment coefficients are discussed, as well as the role of the constant and linear drift. In Part II, the asymptotic theory is given the slightly more general framework of stationary linear processes with i.i.d. innovations. Some useful mathematical tools are collected in Appendix A, and a brief summary of weak convergence in given in Appendix B. The book is intended to give a relatively self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. The asymptotic theory requires some familiarity with the theory of weak convergence of stochastic processes. The theory is treated in detail with the purpose of giving the reader a working knowledge of the techniques involved. Many exercises are provided. The theoretical analysis is illustrated with the empirical analysis of two sets of economic data. The theory has been developed in close contract with the application and the methods have been implemented in the computer package CATS in RATS as a result of a rcollaboation with Katarina Juselius and Henrik Hansen.
Author | : Soren Johansen |
Publisher | : |
Total Pages | : 0 |
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Download Likelihood-Based Inference in Cointegrated Vector Autoregressive Models Book in PDF, Epub and Kindle
Author | : Soren Johansen |
Publisher | : |
Total Pages | : 278 |
Release | : |
Genre | : |
ISBN | : |
Download Likelihood-Based Inference in Cointegrated Vector Autoregressive Models Book in PDF, Epub and Kindle
Author | : Søren Johansen |
Publisher | : Oxford University Press, USA |
Total Pages | : 280 |
Release | : 1995 |
Genre | : Business & Economics |
ISBN | : 0198774508 |
Download Likelihood-based Inference in Cointegrated Vector Autoregressive Models Book in PDF, Epub and Kindle
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 | : Peter Reinhard Hansen |
Publisher | : Oxford University Press, USA |
Total Pages | : 178 |
Release | : 1998 |
Genre | : Business & Economics |
ISBN | : 9780198776086 |
Download Workbook on Cointegration Book in PDF, Epub and Kindle
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 | : Alessandra Canepa |
Publisher | : LAP Lambert Academic Publishing |
Total Pages | : 172 |
Release | : 2009-10 |
Genre | : |
ISBN | : 9783838314693 |
Download Inference in Cointegrated Var Models Book in PDF, Epub and Kindle
Obtaining reliable inference procedures is one of the main challenges of econometric research. Test statistics are usually based on applications of the central limit theorem. However, in order to work well the first order asymptotic approximation requires that the asymptotic distribution is an accurate approximation to the finite sample distribution. When dealing with time series models, this is not generally the case. In this book we investigate the small sample performance of various bootstrap based inference procedures when applied to vector autoregressive models. Special attention is given to Johansen s maximum likelihood method for conducting inference on cointegrated VAR models. Throughout the book, empirical applications are provided to illustrate the bootstrap method and its applications. The analysis should provide some guidance to practitioners in doubt about which inference procedure to use when dealing with cointegrated VAR models.
Author | : Søren Johansen |
Publisher | : |
Total Pages | : |
Release | : 2010 |
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Download Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model Book in PDF, Epub and Kindle
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Download Rosenthal, Stephen Book in PDF, Epub and Kindle
The folder may include clippings, announcements, small exhibition catalogs, and other ephemeral items.
Author | : Luc Bauwens |
Publisher | : OUP Oxford |
Total Pages | : 370 |
Release | : 2000-01-06 |
Genre | : Business & Economics |
ISBN | : 0191588466 |
Download Bayesian Inference in Dynamic Econometric Models Book in PDF, Epub and Kindle
This book contains an up-to-date coverage of the last twenty years advances in Bayesian inference in econometrics, with an emphasis on dynamic models. It shows how to treat Bayesian inference in non linear models, by integrating the useful developments of numerical integration techniques based on simulations (such as Markov Chain Monte Carlo methods), and the long available analytical results of Bayesian inference for linear regression models. It thus covers a broad range of rather recent models for economic time series, such as non linear models, autoregressive conditional heteroskedastic regressions, and cointegrated vector autoregressive models. It contains also an extensive chapter on unit root inference from the Bayesian viewpoint. Several examples illustrate the methods.
Author | : David F. Hendry |
Publisher | : Princeton University Press |
Total Pages | : 378 |
Release | : 2012-06-21 |
Genre | : Business & Economics |
ISBN | : 1400845653 |
Download Econometric Modeling Book in PDF, Epub and Kindle
Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihood-based approach of this book gives students the required statistical foundations of estimation and inference, and leads to a thorough understanding of econometric techniques. David Hendry and Bent Nielsen introduce modeling for a range of situations, including binary data sets, multiple regression, and cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied. Econometric Modeling is a self-contained introduction for advanced undergraduate or graduate students. Throughout, data illustrate and motivate the approach, and are available for computer-based teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research.