New Introduction to Multiple Time Series Analysis

New Introduction to Multiple Time Series Analysis

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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. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It 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.
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Product details

  • Paperback | 764 pages
  • 157.48 x 231.14 x 43.18mm | 1,088.62g
  • Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
  • Springer-Verlag Berlin and Heidelberg GmbH & Co. K
  • Berlin, Germany
  • English
  • 1st ed. 2006. Corr. 2nd printing 2007
  • 36 Tables, black and white; XXI, 764 p.
  • 3540262393
  • 9783540262398
  • 419,627

Table of contents

Introduction.- Finite Order Vector Autoregressive Processes: Stable Vector Autoregressive Processes.- Estimation of Vector Autoregressive Processes.- VAR Order Selection and Checking the Model Adequacy.- VAR Processes with Parameter Constraints. Cointegrated Processes: Vector Error Correction Models.- Estimation of Vector Error Correction Models.- Specification of VECMs. Structural and Conditional Models: Structural VARs and VECMs.- Systems of Dynamic Simultaneous Equations. Infinite Order Vector Autoregressive Processes: Vector Autoregressive Moving Average Processes.- Estimation of VARMA Models.- Specification and Checking the Adequacy of VARMA.- Cointegrated VARMA Processes.- Fitting Finite Order VAR Models to Infinite Order Processes. Time Series Topics: Multivariate ARCH and GARCH Models.- Periodic VAR Processes and Intervention Models.- State Space Models. Appendices: Vectors and Matrices.- Multivariate Normal and Related Distributions.- Stochastic Convergence and Asymptotic Distributions.- Evaluating Properties of Estimators and Test Statistics by Simulation and Resampling Techniques.
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15 ratings
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2 7% (1)
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