WORKBOOK ON COINTEGRATION by Peter Reinhard Hansen, Soren Johansen ( 9780198776086 )

Item Details

Title:

WORKBOOK ON COINTEGRATION

By:

Peter Reinhard Hansen, Soren Johansen

Format:

Hardback

List price:

£142.50

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£124.69

Discount:

12.5% off

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£17.81

ISBN 10:

019877608X

ISBN 13:

9780198776086

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Publisher:

OXFORD UNIVERSITY PRESS

Pub. date:

26 November, 1998

Series:

Advanced Texts in Econometrics

Pages:

172

Description:

Cointegration is a statistical tool for describing the co-movement of economic data measured over time. A number of textbooks now exist for introducing applied economists and econometricians to the modern statistical formulation of this technique. The present workbook consists of exercises and their solutions. The book is meant as an aid for the study of cointegration and gives the student and researcher a possibility to check their understanding of the topic. Theexercises are taken from Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, also published by Oxford University Press.

Synopsis:

This workbook is a companion to the textbook Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, also published by Oxford University Press. The workbook contains exercises and solutions concerned with the theory of cointegration in the vector autoregressive model. The main text has been used for courses on Cointegration, and many of the exercises have been posed as either training exercises or exam questions. Many of them are challenging and summarize results published in the literature. Each chapter starts with a brief summary of the content of the corresponding chapter in the main text, which introduces the notation and the most important results.

Publication:

Imprint:

Oxford University Press

Returns:

Returnable

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