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Workbook on Cointegration Book

Workbook on Cointegration
Workbook on Cointegration, 
This workbook consists of exercises taken from <em>Likelihood-Based Inferences in Cointegrated Vector Autoregressive Models</em> by Soren Johansen, together with worked-out solutions.
 
About the Series Advanced Texts in Econometrics is a dis, Workbook on Cointegration has a rating of 2.5 stars
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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
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  • Workbook on Cointegration
  • Written by author Peter Reinhard Hansen
  • Published by Oxford University Press, USA, February 1999
  • 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
  • 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 dist
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Book Categories

Authors

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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Workbook on Cointegration, 
This workbook consists of exercises taken from <em>Likelihood-Based Inferences in Cointegrated Vector Autoregressive Models</em> by Soren Johansen, together with worked-out solutions.
 
About the Series Advanced Texts in Econometrics is a dis, Workbook on Cointegration

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Workbook on Cointegration, 
This workbook consists of exercises taken from <em>Likelihood-Based Inferences in Cointegrated Vector Autoregressive Models</em> by Soren Johansen, together with worked-out solutions.
 
About the Series Advanced Texts in Econometrics is a dis, Workbook on Cointegration

Workbook on Cointegration

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Workbook on Cointegration, 
This workbook consists of exercises taken from <em>Likelihood-Based Inferences in Cointegrated Vector Autoregressive Models</em> by Soren Johansen, together with worked-out solutions.
 
About the Series Advanced Texts in Econometrics is a dis, Workbook on Cointegration

Workbook on Cointegration

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