New Introduction to Multiple Time Series Analysis by Helmut Ltkepohl

New Introduction to Multiple Time Series Analysis by Helmut Ltkepohl

This reference work and graduate level textbook considers a wide range of models and methods for analyzing and forecasting multiple time series. The models covered include vector autoregressive, cointegrated,vector autoregressive moving average, multivariate ARCH and periodic processes as well as dynamic simultaneous equations and state space models. Least squares, maximum likelihood and Bayesian methods are considered for estimating these models. Different procedures for model selection and model specification are treated and a wide range of tests and criteria for model checking are introduced. Causality analysis, impulse response analysis and innovation accounting are presented as tools for structural analysis. The book 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. Applied researchers involved in analyzing multiple time series may benefit from the book as it provides the background and tools for their tasks. It bridges the gap to the difficult technical literature on the topic.

SKU	Non disponible
ISBN 13	9783540262398
ISBN 10	3540262393
Titre	New Introduction to Multiple Time Series Analysis
Auteur	Helmut L Tkepohl
État	Non disponible
Type de reliure	Paperback
Éditeur	Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Année de publication	2006-02-10
Nombre de pages	764
Note de couverture	La photo du livre est présentée à titre d'illustration uniquement. La reliure, la couverture ou l'édition réelle peuvent varier.
Note	Non disponible