Johansen的书Likelihood-based inference in Cointegrated VAR

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Soren Johansen,  Likelihood-based inference in Cointegrated Vector Autoregressive Models, Oxford University Press, 1995.

Table of Contents
show abstractsFull Book Contents
Preface
Part I. The Statistical Analysis of Cointegration
1. Introduction
      
2. The Vector Autoregressive Model
      
3. Basic Definitions and Concepts
      
4. Cointegration and Representation of Integrated Variables
      
5. The I(1) Models and Their Interpretation
      
6. The Statistical Analysis of I (1) Models
      
7. Hypothesis Testing for the Long-Run Coefficients  
      
8. Partial Systems and Hypotheses on  
      
9. The I(2) Model and a Test for I(2)
      
Part II. The Probability Analysis of Cointegration
10. Probability Properties of I (1) Processes
      
11. The Asymptotic Distribution of the Test for Cointegrating Rank
      
12. Determination of Cointegrating Rank
      
13. Asymptotic Properties of the Estimators
      
14. The Power Function of the Test for Cointegrating Rank Under Local Alternatives
      
15. Simulations and Tables
      
Part III. Appendices
Appendix
Bibliography
Index

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关键词：cointegrated Likelihood Integrated Inference integrate University Vector

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