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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models$
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Søren Johansen

Print publication date: 1995

Print ISBN-13: 9780198774501

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198774508.001.0001

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(p.3) 1 Introduction
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Søren Johansen (Contributor Webpage)

Oxford University Press

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

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