This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had gained popularity because it can at the same time capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series. It also allows relevant economic questions to be formulated in a consistent statistical framework. Part I of the book is planned so that it can be us...
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Are you feeling anxious about statistics? This hands-on workbook is packed with clear explanations, real-world examples and practical exercises to give you the maths skills you need to tackle statisti...