Authors:
Profound introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting
Based on the successful Introduction to Multiple Time Series Analysis by Helmut Lütkepohl, published in 1991/1993
Totally revised and with new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models
Includes supplementary material: sn.pub/extras
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Table of contents (18 chapters)
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Front Matter
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Introduction
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Finite Order Vector Autoregressive Processes
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Front Matter
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Cointegrated Processes
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Front Matter
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Structural and Conditional Models
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Front Matter
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Infinite Order Vector Autoregressive Processes
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Front Matter
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About this book
Authors and Affiliations
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Department of Economics, European University Institute, Firenze, Italy
Helmut Lütkepohl
Bibliographic Information
Book Title: New Introduction to Multiple Time Series Analysis
Authors: Helmut Lütkepohl
DOI: https://doi.org/10.1007/978-3-540-27752-1
Publisher: Springer Berlin, Heidelberg
eBook Packages: Business and Economics, Economics and Finance (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2005
Hardcover ISBN: 978-3-540-40172-8Published: 05 July 2005
Softcover ISBN: 978-3-540-26239-8Published: 10 February 2006
eBook ISBN: 978-3-540-27752-1Published: 06 December 2005
Edition Number: 1
Number of Pages: XXI, 764
Topics: Econometrics, Statistics for Business, Management, Economics, Finance, Insurance, Mathematical and Computational Engineering