Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Professor Johansen, a leading statistician working in econometrics, gives a detailed mathetical and statistical analysis of the cointegrated vector autoregressive model, which has been gaining in popularity. The book is a self-contained presentation for graduate students and researchers with a good [...]
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Professor Johansen, a leading statistician working in econometrics, gives a detailed mathetical and statistical analysis of the cointegrated vector autoregressive model, which has been gaining in popularity. The book is a self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. The theory is treated in detail to give the reader a working knowledge of the techniques involved, and many exercises are provided.