Likelihood-based inference in cointegrated vector autoregressive models /
This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregressive model. This model has gained popularity because it can at the same time capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series...
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| Format: | Book |
| Language: | English |
| Published: |
Oxford ; New York :
Oxford University Press,
1995.
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| Series: | Advanced texts in econometrics
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| Subjects: |