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New Introduction to Multiple Time Series Analysis
Helmut Lütkepohl
€ 254.71
FREE Delivery in Ireland
Description for New Introduction to Multiple Time Series Analysis
Hardcover. This is the new and totally revised edition of Lutkepohl's classic 1991 work. It provides a detailed 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. Num Pages: 764 pages, 36 black & white tables, biography. BIC Classification: KF; KJ. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 235 x 155 x 41. Weight in Grams: 1270.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2005
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
764
Condition
New
Number of Pages
764
Place of Publication
Berlin, Germany
ISBN
9783540401728
SKU
V9783540401728
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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