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	Unavailable
ISBN 13	9783540262398
ISBN 10	3540262393
Title	New Introduction to Multiple Time Series Analysis
Author	Helmut L Tkepohl
Condition	Unavailable
Binding Type	Paperback
Publisher	Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Year published	2006-02-10
Number of pages	764
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note	Unavailable