The Cointegrated VAR Model: Methodology and Applications
Katarina Juselius
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.
年:
2007
版:
2
出版社:
Oxford University Press, USA
言語:
english
ページ:
478
ISBN 10:
0199285675
ISBN 13:
9780199285679
シリーズ:
Advanced Texts in Econometrics
ファイル:
PDF, 3.14 MB
IPFS:
,
english, 2007