《The Cointegrated VAR Model: Methodology and Applications》
《协整VAR模型：方法与应用(英语)》

Katarina Juselius(作者)

基本信息

• 出版社: OUP Oxford; 2 (2006年12月7日)
• 丛书名: Advanced Texts in Econometrics
• 平装: 478页
• 语种： 英语
• ISBN: 0199285675
• 条形码: 9780199285679
• 商品尺寸: 24.4 x 2.5 x 17 cm
• 商品重量: 585 g
• ASIN: 0199285675

作者简介

Katarina Juselius obtained her Ph.D from the Swedish School of Economics, Helsinki in 1983. In 1985 she became Associate Professor at the University of Copenhagen and in 1996 she was appointed the Chair of Macroeconometrics. She has published extensively on the methodology of Cointegrated VAR Models with applications to Monetary Transmission Mechanisms, Policy Control Rules, Price Linkages, Wage-, Price, and Unemployment Dynamics. She has been the leader of numerous research projects, and has been on the editorial boards of the International Journal of Forecasting, the Journal of Business and Economic Statistics, and is presently serving the Journal of Economic Methodology. In 1995-98 she was a member of the Danish Social Sciences Research Council and is presently a member of the EUROCORES committee at the European Science Foundation.

目录

Bridging economics and econometrics
1. Introduction
2. Models and Relations in Economics and Econometrics
3. The Probability Approach in Econometrics and the VAR

Specifying the VAR Model
4. The Unrestricted VAR
5. The Cointegrated VAR Model
6. Deterministic Components in the I(1) Model
7. Estimation in the I(1) Model
8. Determination of Cointegration Rank

Testing Hypotheses on cointegration
9. Recursive Tests of Constancy
10. Testing Restrictions on Beta
11. Testing Restrictions on Alpha

Identification
12. Identification of the Long-Run Structure
13. Identification of the Short-Run Structure
14. Identification of Common Trends
15. Identification of a Structural MA Model

The I(2) Model
16. Analyzing I(2) Data with the I(1) Model
17. The I(2) Model: specification and estimation
18. Testing Hypotheses in the I(2) Model

A Methodological Approach
19. Specific-to-General and General-to-Specific
20. Wage, Price, and Unemployment Dynamics
21. Foreign Transmission Effects: Denmark versus Germany
22. Collecting the Threads

Appendix A: The Asymptotic Tables for Cointegration Rank
Appendix B: A Roadmap for Writing an Empirical Paper