Cointegrated var model:

By:

Juselius, Katarina

Material type: Text

TextPublication details: New Delhi: Oxford University Press, 2006.Description: xx, 457pISBN:

9780199285679

DDC classification:

330.0151563 JUS

Summary: This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability.

Item type:

Book

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Holdings
Item type	Current library	Call number	Status	Date due	Barcode
Book	IIM Kashipur	330.0151563 JUS (Browse shelf(Opens below))	Available		6980

Includes index.

This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability.

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