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Introduction to Multiple Time Series Analysis

  • Textbook
  • © 1991

Overview

Authors:
  1. Helmut Lütkepohl

    1. Institute of Statistics and Econometrics, University of Kiel, Kiel, Germany

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Table of contents (13 chapters)

  1. Front Matter

    Pages I-XXI
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  2. Introduction

    1. Introduction

      • Helmut Lütkepohl
      Pages 1-6

  3. Finite Order Vector Autoregressive Processes

    1. Front Matter

      Pages 7-7
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    2. Stable Vector Autoregressive Processes

      • Helmut Lütkepohl
      Pages 9-61

    3. Estimation of Vector Autoregressive Processes

      • Helmut Lütkepohl
      Pages 62-117

    4. VAR Order Selection and Checking the Model Adequacy

      • Helmut Lütkepohl
      Pages 118-166

    5. VAR Processes with Parameter Constraints

      • Helmut Lütkepohl
      Pages 167-214

  4. Infinite Order Vector Autoregressive Processes

    1. Front Matter

      Pages 215-215
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    2. Vector Autoregressive Moving Average Processes

      • Helmut Lütkepohl
      Pages 217-240

    3. Estimation of VARMA Models

      • Helmut Lütkepohl
      Pages 241-283

    4. Specification and Checking the Adequacy of VARMA Models

      • Helmut Lütkepohl
      Pages 284-304

    5. Fitting Finite Order VAR Models to Infinite Order Processes

      • Helmut Lütkepohl
      Pages 305-319

  5. Systems with Exogenous Variables and Nonstationary Processes

    1. Front Matter

      Pages 321-321
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    2. Systems of Dynamic Simultaneous Equations

      • Helmut Lütkepohl
      Pages 323-345

    3. Nonstationary Systems with Integrated and Cointegrated Variables

      • Helmut Lütkepohl
      Pages 346-390

    4. Periodic VAR Processes and Intervention Models

      • Helmut Lütkepohl
      Pages 391-414

    5. State Space Models

      • Helmut Lütkepohl
      Pages 415-445

  6. Back Matter

    Pages 449-546
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Keywords

Authors and Affiliations

  • Institute of Statistics and Econometrics, University of Kiel, Kiel, Germany

    Helmut Lütkepohl

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