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New Introduction to Multiple Time Series Analysis

✍ Scribed by Helmut Lütkepohl

Publisher
Springer Science & Business Media
Year
2005
Tongue
English
Leaves
765
Category
Library
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✦ Synopsis

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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<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

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