Workbook on Cointegration by Peter Reinhard Hansen
This workbook is a companion to the textbook Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, also published by Oxford University Press. The workbook contains exercises and solutions concerned with the theory of cointegration in the vector autoregressive model. The main text has been used for courses on Cointegration, and many of the exercises have been posed as either training exercises or exam questions. Many of them are challenging and summarize results published in the literature. Each chapter starts with a brief summary of the content of the corresponding chapter in the main text, which introduces the notation and the most important results.-
Non-Stationary Time Series Analysis and Cointegration
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Dynamic Econometrics
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The Cointegrated VAR Model
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Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
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Generalized Method of Moments
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Periodic Time Series Models
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ARCH: Selected Readings
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Modelling Nonlinear Economic Time Series
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Stochastic Volatility
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Finite Sample Econometrics
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Modelling Economic Series
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Bayesian Inference in Dynamic Econometric Models
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Micro-Econometrics for Policy, Program and Treatment Effects
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Panel Data Econometrics
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Periodicity and Stochastic Trends in Economic Time Series
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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Testing Exogeneity
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Volatility and Time Series Econometrics
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Long-Run Economic Relationships
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Modelling Seasonality
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Readings in Unobserved Components Models
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The Econometrics of Macroeconomic Modelling
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Time-Series-Based Econometrics
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Modelling Non-Linear Economic Relationships
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Stochastic Limit Theory
| SKU | Unavailable |
| ISBN 13 | 9780198776079 |
| ISBN 10 | 0198776071 |
| Title | Workbook on Cointegration |
| Author | Peter Reinhard Hansen |
| Series | Advanced Texts In Econometrics |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | Oxford University Press |
| Year published | 1998-09-17 |
| Number of pages | 170 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |