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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 beta
8. Hypothesis Testing for alpha
9. The I (2) Model and a Test for I (2)
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 References
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Add Workbook on Cointegration, This workbook consists of exercises taken from Likelihood-Based Inferences in Cointegrated Vector Autoregressive Models by Soren Johansen, together with worked-out solutions. About the Series Advanced Texts in Econometrics is a dis, Workbook on Cointegration to the inventory that you are selling on WonderClubX
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Add Workbook on Cointegration, This workbook consists of exercises taken from Likelihood-Based Inferences in Cointegrated Vector Autoregressive Models by Soren Johansen, together with worked-out solutions. About the Series Advanced Texts in Econometrics is a dis, Workbook on Cointegration to your collection on WonderClub |