Introduction to Multiple Time Series Ana
✍ Helmut Lütkepohl
📂 Library
📅 1993
🏛 Springer
🌐 English
✦ LIBER ✦
📁
Introduction to Multiple Time Series Analysis
✍ Scribed by Prof. Dr. Helmut Lütkepohl (auth.)
- Publisher
- Springer Berlin Heidelberg
- Year
- 1991
- Tongue
- English
- Leaves
- 556
- Category
- Library
⬇ Acquire This Volume
No coin nor oath required. For personal study only.
✦ Table of Contents
Front Matter....Pages I-XXI
Introduction....Pages 1-6
Front Matter....Pages 7-7
Stable Vector Autoregressive Processes....Pages 9-61
Estimation of Vector Autoregressive Processes....Pages 62-117
VAR Order Selection and Checking the Model Adequacy....Pages 118-166
VAR Processes with Parameter Constraints....Pages 167-214
Front Matter....Pages 215-215
Vector Autoregressive Moving Average Processes....Pages 217-240
Estimation of VARMA Models....Pages 241-283
Specification and Checking the Adequacy of VARMA Models....Pages 284-304
Fitting Finite Order VAR Models to Infinite Order Processes....Pages 305-319
Front Matter....Pages 321-321
Systems of Dynamic Simultaneous Equations....Pages 323-345
Nonstationary Systems with Integrated and Cointegrated Variables....Pages 346-390
Periodic VAR Processes and Intervention Models....Pages 391-414
State Space Models....Pages 415-445
Back Matter....Pages 449-546
✦ Subjects
Economic Theory; Statistics, general; Appl.Mathematics/Computational Methods of Engineering
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<p>When I worked on my Introduction to Multiple Time Series Analysis (Lutk ¨ ¨- pohl (1991)), a suitable textbook for this ?eld was not available. Given the great importance these methods have gained in applied econometric work, it is perhaps not surprising in retrospect that the book was quite succ