New Introduction to Multiple Time Series Analysis

Häftad, Engelska, 2006

AvHelmut Lütkepohl

2 239 kr

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This reference work and graduate level textbook considers a wide range of models and methods for analyzing and forecasting multiple time series. Different procedures for model selection and model specification are treated and a wide range of tests and criteria for model checking are introduced.

Produktinformation

Utgivningsdatum2006-02-10
Mått155 x 235 x 42 mm
Vikt1 172 g
FormatHäftad
SpråkEngelska
Antal sidor764
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783540262398

Tillhör följande kategorier

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 Models.- 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.