'Likelihood-Based Inference in Cointegrated Vector Autoregressive Models' - Soren Johansen og Sren Johansen - Bog

Brand: Soren Johansen og Sren Johansen

This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had gained popularity because it can at the same time capture the short-run dynamic properties as well as the long-run equilibrium

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