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Author | : Katarina Juselius |
Publisher | : OUP Oxford |
Total Pages | : 478 |
Release | : 2006-12-07 |
Genre | : Business & Economics |
ISBN | : 0191622966 |
Download The Cointegrated VAR Model Book in PDF, ePub and Kindle
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, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Author | : Katarina Juselius |
Publisher | : Oxford University Press, USA |
Total Pages | : 478 |
Release | : 2006-12-07 |
Genre | : Business & Economics |
ISBN | : 0199285667 |
Download The Cointegrated VAR Model Book in PDF, ePub and Kindle
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 thecommon stochastic trends and the impulse response functions, providing in each case illustrations of applicability.This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory whilealso revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Author | : Katarina Juselius |
Publisher | : |
Total Pages | : 0 |
Release | : 2023 |
Genre | : Autoregression (Statistics) |
ISBN | : 9781383043082 |
Download The Cointegrated VAR Model Book in PDF, ePub and Kindle
Providing an introduction to VAR modelling and how it can be applied, this book focuses on the properties of the cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. It gives insights into the links between statistical econometric modelling and economic theory.
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 | : Constantin Colonescu |
Publisher | : Lulu.com |
Total Pages | : 278 |
Release | : 2018-01-05 |
Genre | : Business & Economics |
ISBN | : 1387473611 |
Download Using R for Principles of Econometrics Book in PDF, ePub and Kindle
This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition. 'Using R for Principles of Econometrics' requires no previous knowledge in econometrics or R programming, but elementary notions of statistics are helpful.
Author | : Helmut Lütkepohl |
Publisher | : Cambridge University Press |
Total Pages | : 351 |
Release | : 2004-08-02 |
Genre | : Business & Economics |
ISBN | : 1139454730 |
Download Applied Time Series Econometrics Book in PDF, ePub and Kindle
Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
Author | : Bernhard Pfaff |
Publisher | : Springer Science & Business Media |
Total Pages | : 193 |
Release | : 2008-09-03 |
Genre | : Business & Economics |
ISBN | : 0387759670 |
Download Analysis of Integrated and Cointegrated Time Series with R Book in PDF, ePub and Kindle
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Author | : Juselius Katarina |
Publisher | : |
Total Pages | : 256 |
Release | : 2005 |
Genre | : |
ISBN | : |
Download The cointegrated VAR model Book in PDF, ePub and Kindle
Author | : Helmut Lütkepohl |
Publisher | : Springer Science & Business Media |
Total Pages | : 556 |
Release | : 2013-04-17 |
Genre | : Business & Economics |
ISBN | : 3662026910 |
Download Introduction to Multiple Time Series Analysis Book in PDF, ePub and Kindle
Author | : Cheng-Few Lee |
Publisher | : Springer |
Total Pages | : 0 |
Release | : 2014-09-28 |
Genre | : Business & Economics |
ISBN | : 9781461477495 |
Download Handbook of Financial Econometrics and Statistics Book in PDF, ePub and Kindle
The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.