The Cointegrated VAR Model Methodology and Applications

The Cointegrated VAR Model

Uitgever: Oxford University Press

  • Engels
  • Paperback
  • 9780199285679
  • Druk: 2
  • december 2006
  • 478 pagina's
Alle productspecificaties

Samenvatting

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.

Productspecificaties

Inhoud

Taal
Engels
Bindwijze
Paperback
Druk
2
Verschijningsdatum
december 2006
Aantal pagina's
478 pagina's
Illustraties
Met illustraties

Betrokkenen

Auteur
Katarina Juselius
Uitgever
Oxford University Press

Vertaling

Originele Titel
The Cointegrated Var Model: Methodology and Applications

EAN

EAN
9780199285679

Overige kenmerken

Extra groot lettertype
Nee
Gewicht
806 g
Verpakking breedte
170 mm
Verpakking hoogte
25 mm
Verpakking lengte
245 mm

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