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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Advanced Texts in Econometrics) Book
Professor Johansen gives a detailed mathematical and statistical analysis of the co-integrated vector autoregressive model in a self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. Many exercises are provided.Read More
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Blackwell
This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregressive model. This model has gained popularity because it can at the same time capture the short-run dynamic properties as well as the long...
- 0198774508
- 9780198774501
- Søren Johansen
- 28 December 1995
- OUP Oxford
- Paperback (Book)
- 280
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