The Johansen tests of cointegration are development for the five models proposed for johansen, the book includes examples with a database of the monetary sector.
The book contains the classic topics in cointegration (test for cointegration, and test for specification of the vector of cointegration alpha and beta vectors), have two parts the first more basic, explains the cointegration and tests for cointegration VAR, and the second part, contains advanced statistical analysis of cointegration VAR process (analytical distributions of Johansen tests, Wiener process, etc).
I like this book because the book includes test on alpha and beta vectors, explains the five models of cointegration proposed by Johansen and includes cointegration for I(2) series, there is a complement with solutions for the exercises of this book in the Workbook of Cointegration by Johansen and Hansen.

Скачать книгу бесплатно (pdf, 4.35 Mb)

---

Читать «Likelihood-Based Inference in Cointegrated Vector Autoregressive Models»