The cointegrated VAR model: methodology and applications

By: Juselius, Katarina
Series: Advanced texts in econometricsPublisher: Oxford Oxford University Press 2006Description: xx, 457 p.ISBN: 9780199285679Subject(s): Econometric models | Autoregression (Statistics) | Vector analysis | CointegrationDDC classification: 330.0151563 Summary: 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.
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Non-fiction 330.0151563 J8C6 (Browse shelf) Available 179616

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.

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