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