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The cointegrated VAR model : methodology and applications / Katarina Juselius.

By: Material type: TextTextLanguage: English Series: Advanced texts in econometricsPublication details: Oxford ; Oxford University Press, 2006.Description: xx, 457 páginas : tablas, gráficas ; 25 cmContent type:
  • Texto
Media type:
  • Sin mediación
Carrier type:
  • Volumen
ISBN:
  • 9780199285679
Subject(s): DDC classification:
  • 330.01  J87c  21
Other classification:
  • C01
Contents:
I. Bridging economics and econometrics: 1. Introduction ; 2. Models and relations in economics and econometrics ; 3. The probability approach in econometrics, and the VAR -- II. Specifying the VAR model: 4. The unrestricted VAR ; 5. The Cointegrated VAR model ; 6. Deterministic components in the I(1) model ; 7. Estimation in the I(1) model ; 8. Determination of cointegration rank -- III. Testing hypotheses on cointegration: 9. Recursive parameter non-constancy ; 10. Testing restrictions on a -- IV. Identification: 12. Identification of the long-run structure ; 13. Identification of the short-run structure ; 14. Identification of common trends ; 15. Identification of a structural MA model -- V. The I(2) model: 16. Analysing I(2) data with the I(1) model ; 17. The I(2) model: specification and estimation ; 18. Testing hypotheses in the I(2) model -- VI. A methodological approach: 19. Specific-to-general and general-to-specific ; 20. Wage, price, and unemployment dynamics ; 21. Foreign transmission effects: Denmark versus Germany ; 22. Collecting the threads.
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Incluye referencias bibliográficas (páginas 425-437) e índice.

I. Bridging economics and econometrics: 1. Introduction ; 2. Models and relations in economics and econometrics ; 3. The probability approach in econometrics, and the VAR -- II. Specifying the VAR model: 4. The unrestricted VAR ; 5. The Cointegrated VAR model ; 6. Deterministic components in the I(1) model ; 7. Estimation in the I(1) model ; 8. Determination of cointegration rank -- III. Testing hypotheses on cointegration: 9. Recursive parameter non-constancy ; 10. Testing restrictions on a -- IV. Identification: 12. Identification of the long-run structure ; 13. Identification of the short-run structure ; 14. Identification of common trends ; 15. Identification of a structural MA model -- V. The I(2) model: 16. Analysing I(2) data with the I(1) model ; 17. The I(2) model: specification and estimation ; 18. Testing hypotheses in the I(2) model -- VI. A methodological approach: 19. Specific-to-general and general-to-specific ; 20. Wage, price, and unemployment dynamics ; 21. Foreign transmission effects: Denmark versus Germany ; 22. Collecting the threads.

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