New Introduction to Multiple Time Series Analysis

✍ Scribed by Professor Dr. Helmut Lütkepohl (auth.)

• Publisher: Springer-Verlag Berlin Heidelberg
• Year: 2005
• Tongue: English
• Leaves: 764
• Edition: 1
• Category: Library

✦ Synopsis

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 successful. Now, almost one and a half decades later the ?eld has undergone substantial development and, therefore, the book does not cover all topics of my own courses on the subject anymore. Therefore, I started to think about a serious revision of the book when I moved to the European University Institute in Florence in 2002. Here in the lovely hills of ToscanyIhadthetimetothink about bigger projects again and decided to prepare a substantial revision of my previous book. Because the label Second Edition was already used for a previous reprint of the book, I decided to modify the title and thereby hope to signal to potential readers that signi?cant changes have been made relative to my previous multiple time series book.

✦ Table of Contents

Front Matter....Pages I-XXI
Introduction....Pages 1-7
Front Matter....Pages 9-11
Stable Vector Autoregressive Processes....Pages 13-68
Estimation of Vector Autoregressive Processes....Pages 69-133
VAR Order Selection and Checking the Model Adequacy....Pages 135-192
VAR Processes with Parameter Constraints....Pages 193-231
Front Matter....Pages 233-235
Vector Error Correction Models....Pages 237-267
Estimation of Vector Error Correction Models....Pages 269-324
Specification of VECMs....Pages 325-352
Front Matter....Pages 353-355
Structural VARs and VECMs....Pages 357-386
Systems of Dynamic Simultaneous Equations....Pages 387-413
Front Matter....Pages 415-417
Vector Autoregressive Moving Average Processes....Pages 419-446
Estimation of VARMA Models....Pages 447-492
Specification and Checking the Adequacy of VARMA Models....Pages 493-514
Cointegrated VARMA Processes....Pages 515-529
Fitting Finite Order VAR Models to Infinite Order Processes....Pages 531-553
Front Matter....Pages 555-555
Multivariate ARCH and GARCH Models....Pages 557-584
Periodic VAR Processes and Intervention Models....Pages 585-610
State Space Models....Pages 611-642
Back Matter....Pages 643-764

✦ Subjects

Econometrics; Statistics for Business/Economics/Mathematical Finance/Insurance; Appl.Mathematics/Computational Methods of Engineering