The Cointegrated VAR Model

Methodology and Applications

Business & Finance, Economics, Econometrics, Nonfiction, Science & Nature, Mathematics
Cover of the book The Cointegrated VAR Model by Katarina Juselius, OUP Oxford
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Katarina Juselius ISBN: 9780191622960
Publisher: OUP Oxford Publication: December 7, 2006
Imprint: OUP Oxford Language: English
Author: Katarina Juselius
ISBN: 9780191622960
Publisher: OUP Oxford
Publication: December 7, 2006
Imprint: OUP Oxford
Language: English

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, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.

More books from OUP Oxford

Cover of the book Evidence in International Investment Arbitration by Katarina Juselius
Cover of the book A Dictionary of Disaster Management by Katarina Juselius
Cover of the book The Three Branches by Katarina Juselius
Cover of the book Professional Police Practice by Katarina Juselius
Cover of the book The Oxford Handbook of Gender in Organizations by Katarina Juselius
Cover of the book Intellectual Property by Katarina Juselius
Cover of the book The Oxford History of Ancient Egypt by Katarina Juselius
Cover of the book Antimicrobial Chemotherapy by Katarina Juselius
Cover of the book A Dictionary of the Internet by Katarina Juselius
Cover of the book The Law of Non-International Armed Conflict by Katarina Juselius
Cover of the book Making Babies by Katarina Juselius
Cover of the book Fairness, Responsibility, and Welfare by Katarina Juselius
Cover of the book Does Foreign Aid Really Work? by Katarina Juselius
Cover of the book The Oxford Handbook of Later Medieval Archaeology in Britain by Katarina Juselius
Cover of the book Art, Aesthetics, and the Brain by Katarina Juselius
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy