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Introduction to Multiple Time Series Analysis

Authors: Lütkepohl, Helmut

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Softcover $109.00
price for USA
  • ISBN 978-3-540-56940-4
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  • Usually dispatched within 3 to 5 business days.
About this book

This graduate level textbook deals with analyzing and forecasting multiple time series. It considers a wide range of multiple time series models and methods. The models include vector autoregressive, vector autoregressive moving average, cointegrated, and periodic processes as well as state space and dynamic simultaneous equations models. Least squares, maximum likelihood, and Bayesian methods are considered for estimating these models. Different procedures for model selection or specification are treated and a range of tests and criteria for evaluating the adequacy of a chosen model are introduced. The choice of point and interval forecasts is considered and impulse response analysis, dynamic multipliers as well as innovation accounting are presented as tools for structural analysis within the multiple time series context. This 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 this book. Applied researchers involved in analyzing multiple time series may benefit from the book as it provides the background and tools for their task. It enables the reader to perform his or her analyses in a gap to the difficult technical literature on the topic.

Buy this book

Softcover $109.00
price for USA
  • ISBN 978-3-540-56940-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Introduction to Multiple Time Series Analysis
Authors
Copyright
1993
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
Softcover ISBN
978-3-540-56940-4
Edition Number
2
Number of Pages
XXI, 545
Topics