ENGLISH

New Introduction to Multiple Time Series Analysis

By Helmut Lütkepohl

Book information

Publisher
Springer Science & Business Media
Year
2005
ISBN
9783540277521, 3540277528
Language
english
Format
PDF
Filesize
12 MB (12084968 bytes)
Pages
764\765
Time added
2020-06-01 01:43:15

Description

This is the new and totally revised edition of Lütkepohl’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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