THE COINTEGRATED VAR MODEL by Katarina Juselius ( 9780199285679 )

Item Details

Title:

THE COINTEGRATED VAR MODEL
METHODOLOGY AND APPLICATIONS

By:

Katarina Juselius

Format:

Paperback

List price:

£65.00

Our price:

£56.88

Discount:

12.5% off

You save:

£8.12

ISBN 10:

0199285675

ISBN 13:

9780199285679

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Publisher:

OXFORD UNIVERSITY PRESS

Pub. date:

7 December, 2006

Series:

Advanced Texts in Econometrics

Pages:

478

Description:

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 aswell as of the common stochastic trends and the impulse response functions.

Synopsis:

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, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model.To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.

Illustrations:

numerous tables, line drawings and mathematical examples

Publication:

Imprint:

Oxford University Press

Returns:

Returnable

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