The Cointegrated VAR Model: Methodology and Applications

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Business & Economics - Mathematical Economics
The Cointegrated VAR Model: Methodology...

The Cointegrated VAR Model: Methodology and Applications

Name: The Cointegrated VAR Model: Methodology and Applications
ISBN: 9780199285679

Katarina Juselius

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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.

Catégories:

Business & Economics - Mathematical Economics

Année:

2007

Edition:

Editeur::

Oxford University Press, USA

Langue:

english

Pages:

478

ISBN 10: