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. - ;This valuable text provides a comprehensive introd

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Year of publication:	2006 ; 1. publ.
Authors:	Jusélius, Katarina
Publisher:	Oxford : Oxford University Press USA - OSO
Subject:	VAR-Modell \| VAR model \| Kointegration \| Cointegration \| Vektor-autoregressives Modell \| Anwendung \| Wirtschaftstheorie
Description of contents:	Includes bibliographical references (p. 425-437) and index Table of Contents [swbplus.bsz-bw.de] ; Description [bvbr.bib-bvb.de] ; Description [zbmath.org]

Extent:	XX, 457 S. graph. Darst.
Series:	Advanced texts in econometrics
Type of publication:	Book / Working Paper
Language:	English
Notes:	Includes bibliographical references (p. 425-437) and index Preface; Contents; I: Bridging economics and econometrics; II: Specifying the VAR model; III: Testing hypotheses on cointegration; IV: Identification; V: The I(2) model; VI: A methodological approach; Appendix A: The asymptotic tables for cointegration rank; Appendix B: A roadmap for writing an empirical paper; Bibliography; Index
ISBN:	978-0-19-928566-2 ; 978-0-19-928567-9 ; 978-0-19-153655-7 ; 978-0-19-153655-7 ; 978-1-281-15414-9 ; 978-0-19-928567-9
Classification:	Methoden und Techniken der Volkswirtschaft
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014441730