Likelihood-based inference in cointegrated vector autoregressive models
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
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| Format: | eBook |
| Language: | English |
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Oxford
Oxford University Press
1995, 1995
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| Series: | Advanced texts in econometrics / Advanced texts in econometrics
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| Collection: | Oxford University Press - Collection details see MPG.ReNa |
| Summary: | 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 |
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| Physical Description: | x, 267 p. ill |
| ISBN: | 9780191596476 |