likelihoodbased inference in cointegrated vector autoregressive models (advanced texts in econometrics) by soren johansen外语英文电子书

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1、AdvancedTextsinEconometricsGeneralEditorsC.W.J.GrangerG.E.MizonThispageintentionallyleftblankLikelihood-BasedInferenceinCointegratedVectorAutoregressiveModelsSørenJohansenGreatClarendonStreet,OxfordOX26DPOxfordUniversityPressisadepartmentoftheUniversityofOxfordItfurtherstheUniversity'sobjecti

2、veofexcellenceinresearch,scholarship,andeducationbypublishingworldwideinOxfordNewYorkAucklandBangkokBuenosAiresCapeTownChennaiDaresSalaamDelhiHongKongIstanbulKarachiKolkataKualaLumpurMadridMelbourneMexicoCityMumbaiNairobiSãoPauloShanghaiTaipeiTokyoTorontoOxfordisaregisteredtrademarkofOxfordUn

3、iversityPressintheUKandincertainothercountriesPublishedintheUnitedStatesbyOxfordUniversityPressInc.,NewYork©SørenJohansen1995ThemoralrightsoftheauthorshavebeenassertedDatabaserightOxfordUniversityPress(maker)Hardbackandpaperbackeditionsfirstpublished1995Allrightsreserved.Nopartofthispublicatio

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5、dbesenttotheRightsDepartment,OxfordUniversityPress,attheaddressaboveYoumustnotcirculatethisbookinanyotherbindingorcoverandyoumustimposethissameconditiononanyacquirerBritishLibraryCataloguinginPublicationDataDataavailableLibraryofCongressCataloginginPublicationDataDataavailableISBN0-19-877450-

6、8(Pbk)PrefaceThroughouttheperiodofpreparingthismonographIhavehadthepleasureofcollaboratingwithKatarinaJuselius,whointroducedmetothetopicofcointegrationbyaskingmetogivesomelecturesonthebasicpaperbyCliveGranger(1983).Sincethenwehaveworkedondevelopingthetheoryinclosecontactwiththeapplications,an

7、dtheresultswehaveobtainedhavebeendrivenbytheneedtounderstandthevariationofeconomicdata.Thusthetheoryhasbeenforceduponusbytheapplications,andthetheoryhassuggestednewquestionsthatcouldbeaskedinpractice.Ifeelfortunateinhavinghadtheopportunityfor