Likelihood-based inference in cointegrated vector autoregressive models /
This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
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| Main Author: | |
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Oxford ; New York :
Oxford University Press,
1995.
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| Series: | Advanced texts in econometrics.
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| Subjects: | |
| Online Access: | CONNECT |
