The Cointegrated VAR Model（协整VAR模型）

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1、ADVANCEDTEXTSINECONOMETRICSEditorsManuelArellanoGuidoImbensGrayhamE.MizonAdrianPaganMarkWatsonAdvisoryEditorC.W.J.GrangerOtherAdvancedTextsinEconometricsARCH:SelectedReadingsEditedbyRobertF.EngleAsymptoticTheoryforIntegratedProcessesByH.PeterBoswijkBayesianInfere

2、nceinDynamicEconometricModelsByLucBauwens,MichelLubrano,andJean-Fran¸coisRichardCo-integration,ErrorCorrection,andtheEconometricAnalysisofNon-StationaryDataByAnindyaBanerjee,JuanJ.Dolado,JohnW.Galbraith,andDavidHendryCointegratedVARModel:MethodologyandApplication

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4、nEditedbyR.F.EngleandC.W.J.GrangerMicro-EconometricsforPolicy,Program,andTreatmentEffectByMyoung-jaeLeeModellingEconometricSeries:ReadingsinEconometricMethodologyEditedbyC.W.J.GrangerModellingNon-LinearEconomicRelationshipsByCliveW.J.GrangerandTimoTer¨asvirtaModel

5、lingSeasonalityEditedbyS.HyllebergNon-StationaryTimesSeriesAnalysisandCointegrationEditedbyColinP.HargeavesOutlierRobustAnalysisofEconomicTimeSeriesByAndr´eLucas,PhilipHansFranses,andDickvanDijkPanelDataEconometricsByManuelArellanoPeriodicityandStochasticTrendsin

6、EconomicTimeSeriesByPhilipHansFransesProgressiveModelling:Non-nestedTestingandEncompassingEditedbyMassimilianoMarcellinoandGrayhamE.MizonReadingsinUnobservedComponentsEditedbyAndrewHarveyandTommasoProiettiStochasticLimitTheory:AnIntroductionforEconometriciansByJa

7、mesDavidsonStochasticVolatilityEditedbyNeilShephardTestingExogeneityEditedbyNeilR.EricssonandJohnS.IronsTheEconometricsofMacroeconomicModellingByGunnarB˚ardsen,ØyvindEitrheim,EilevS.Jansen,andRagnarNymoenTimeSerieswithLongMemoryEditedbyPeterM.RobinsonTime-Series-

8、BasedEconometrics:UnitRootsandCo-integrationsByMichioHatanakaWorkbookonCointegrationByPeterReinhardHansenandSørenJohansenTheCointegratedVARModel:Methodologyand