Chapter

Introduction

Søren Johansen

in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Published in print December 1995 | ISBN: 9780198774501
Published online November 2003 | e-ISBN: 9780191596476 | DOI: http://dx.doi.org/10.1093/0198774508.003.0001

Series: Advanced Texts in Econometrics

 							Introduction

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Contains an overview of the monograph and discusses the statistical methodology of building and analysing statistical models and their likelihood function with the purpose of deriving estimators and tests. The vector autoregressive model is used because it allows a flexible statistical description of the data. It makes it possible to embed interesting economic hypotheses as parametric restrictions and hence allow them to be tested against data.

Keywords: economic hypotheses; likelihood function; statistical description; statistical methodology; statistical models

Chapter.  3486 words. 

Subjects: Econometrics and Mathematical Economics

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