CointegratedVAR

,Abstract:ThepaperconsidersaBayesianapproachtothecointegratedVARmodelwithauniformprioronthecointegrationspace.Buildingonearlierworkby ...,由KJuselius著作·2018·被引用2139次—ThecointegratedVARapproachcombinesdifferencesofvariableswithcointegrationamongthemandbydoingsoallowstheusertostudybothlong ...,Oneimportantcaseinwhichtheusualstatisticalre-sultsdonotholdisspuriousregression,whenalltheregress...

參考資訊如下
An Introduction to the Cointegrated VAR Model

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 ...

Cointegrated VAR Methodology

由 K Juselius 著作 · 2018 · 被引用 2139 次 — The cointegrated VAR approach combines differences of variables with cointegration among them and by doing so allows the user to study both long ...

Cointegration • The VAR models discussed so fare are ...

One important case in which the usual statistical re- sults do not hold is spurious regression, when all the regressors are I(1) and not cointegrated. That is,.

Juselius

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

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.

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， ...

VAR Models and Cointegration Analysis

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 ...

VECTOR AUTOREGRESSIONS AND COINTEGRATION*

由 MW WATSON 著作 · 被引用 702 次 — This paper surveys three topics: vector autoregressive (VAR) models with integrated regressors, cointegration, and structural VAR modeling.