New Introduction to Multiple Time Series Analysis

Authors: Lütkepohl, Helmut

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eBook $54.99
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  • ISBN 978-3-540-27752-1
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  • Immediate eBook download after purchase
Hardcover $199.00
price for USA
  • ISBN 978-3-540-40172-8
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Softcover $69.95
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  • ISBN 978-3-540-26239-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

This reference work and graduate level textbook considers a wide range of models and methods for analyzing and forecasting multiple time series. The models covered include vector autoregressive, cointegrated,vector autoregressive moving average, multivariate ARCH and periodic processes as well as dynamic simultaneous equations and state space models. Least squares, maximum likelihood and Bayesian methods are considered for estimating these models. Different procedures for model selection and model specification are treated and a wide range of tests and criteria for model checking are introduced. Causality analysis, impulse response analysis and innovation accounting are presented as tools for structural analysis. The book is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it. Applied researchers involved in analyzing multiple time series may benefit from the book as it provides the background and tools for their tasks. It bridges the gap to the difficult technical literature on the topic.

Table of contents (18 chapters)

  • Introduction

    Lütkepohl, Helmut

    Pages 1-7

  • Stable Vector Autoregressive Processes

    Lütkepohl, Helmut

    Pages 13-68

  • Estimation of Vector Autoregressive Processes

    Lütkepohl, Helmut

    Pages 69-133

  • VAR Order Selection and Checking the Model Adequacy

    Lütkepohl, Helmut

    Pages 135-192

  • VAR Processes with Parameter Constraints

    Lütkepohl, Helmut

    Pages 193-231

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-3-540-27752-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $199.00
price for USA
  • ISBN 978-3-540-40172-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $69.95
price for USA
  • ISBN 978-3-540-26239-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
New Introduction to Multiple Time Series Analysis
Authors
Copyright
2005
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-27752-1
DOI
10.1007/978-3-540-27752-1
Hardcover ISBN
978-3-540-40172-8
Softcover ISBN
978-3-540-26239-8
Edition Number
1
Number of Pages
XXI, 764
Topics