Likelihood-based inference in cointegrated vector autoregressive models
Throughout the period of preparing this monograph I have had the pleasure of collaborating with Katarina Juselius, who introduced me to the topic of cointegration by asking me to give some lectures on the basic paper by Clive Granger (1983). Since then we have worked on developing the theory in cl...
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| Tác giả chính: | |
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| Định dạng: | Sách |
| Ngôn ngữ: | English |
| Được phát hành: |
Oxford University Press
2012
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| Những chủ đề: | |
| Truy cập trực tuyến: | http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/30571 |
| Các nhãn: |
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| Thư viện lưu trữ: | Thư viện Trường Đại học Đà Lạt |
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| Tóm tắt: | Throughout the period of preparing this monograph I have had the pleasure of collaborating with Katarina Juselius,
who introduced me to the topic of cointegration by asking me to give some lectures on the basic paper by Clive
Granger (1983). Since then we have worked on developing the theory in close contact with the applications, and the
results we have obtained have been driven by the need to understand the variation of economic data. Thus the theory
has been forced upon us by the applications, and the theory has suggested new questions that could be asked in
practice. I feel fortunate in having had the opportunity for this type of collaboration, and would like to use this
opportunity to thank Katarina for being so inspiring. |
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