CointegratedVAR

由MWWATSON著作·被引用691次—Thispapersurveysthreetopics:vectorautoregressive(VAR)modelswithintegratedregressors,cointegration,andstructuralVARmodeling.,Cointegration.•TheVARmodelsdiscussedsofareareappropri-ateformodelingI(0)data,likeassetreturnsorgrowthratesofmacroeconomictimeseries ...,TheCointegratedVARModel:MethodologyandApplications(AdvancedTextsinEconometrics).ISBN13碼:978-0199285662，ISBN...

參考資訊如下
VECTOR AUTOREGRESSIONS AND COINTEGRATION*

由 MW WATSON 著作 · 被引用 691 次 — This paper surveys three topics: vector autoregressive (VAR) models with integrated regressors, cointegration, and structural VAR modeling.

Cointegration • The VAR models discussed so fare are appropri

Cointegration. • The VAR models discussed so fare are appropri- ate for modeling I(0) data, like asset returns or growth rates of macroeconomic time series ...

The Cointegrated VAR Model

The Cointegrated VAR Model: Methodology and Applications (Advanced Texts in Econometrics). ISBN 13 碼: 978-0199285662， ISBN 10 碼: 0199285667. 4.4 4.4 顆星 ...

An Introduction to the Cointegrated VAR Model

Cointegrated VAR Methodology

由 K Juselius 著作 · 2018 · 被引用 2101 次 — The cointegrated VAR approach combines differences of variables with cointegration among them and by doing so allows the user to study both long ...

The Cointegrated Var Model

書名：The Cointegrated Var Model: Methodology and Applications，語言：英文，ISBN：0199285667，頁數：457，作者：Juselius, Katarina，出版日期：2007/02/08， ...

Vectorautoregressive

A VAR model describes the evolution of a set of k variables measured over the same sampleperiod (t єT) as a linear function of only their past evolution. The ...

Replication of The Cointegrated VAR Model

This book contains the replication of the empirical analysis of The Cointegrated VAR Model of Katarina Juselius using R.

Bayesian Inference in Cointegrated VAR Models

Abstract: The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space. Building on earlier work by ...

Juselius | The Cointegrated VAR Model

The Cointegrated VAR Model: Methodology and Applications. by Katarina Juselius. Oxford University Press, 2006. List Price $55.00, Estima's Price $44.00 ...