This workbook consists of exercises taken from Likelihood-Based Inferences in Cointegrated Vector Autoregressive Models by Soren Johansen, together with worked-out solutions.
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Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory...