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This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.

Wiskundige economie. --- Autoregression (Statistics) --- Autorégression (Statistique) --- Autoregression (statistics) --- Autoregression (Statistics). --- Autorégression (Statistique) --- Econometric models --- 330.015195 --- Econometrics --- economische modellen --- 303.0 --- 303.3 --- 305.0 --- 305.970 --- AA / International- internationaal --- 330.115 --- Mathematical models --- Regression analysis --- Stochastic processes --- 330.115 Econometrie --- Econometrie --- modèles économiques --- Statistische technieken in econometrie. Wiskundige statistiek (algemene werken en handboeken) --- Waarschijnlijkheid. Probabiliteit. Nauwkeurigheid. Residuals: measurement and specification (wiskundige statistiek) --- Toegepaste econometrie en statistiek (algemene naslagwerken). Statistische onderzoekingen en studiën --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots --- Mathematical statistics --- Quantitative methods (economics) --- Econometric models. --- E-books --- Modèles économétriques --- Econometrics.

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Quantitative methods (economics)