Introduction to Multiple Time Series Analysis

Lutkepohl, Helmut

ISBN 10: 0387569405 / ISBN 13: 9780387569406

Verlag: Springer Nature, 1993

Beschreibung

Like New. Bestandsnummer des Verkäufers ERICA70403875694055

Bibliografische Details

Titel: Introduction to Multiple Time Series Analysis

Verlag: Springer Nature

Erscheinungsdatum: 1993

Einband: Paperback

Zustand: Like New

Art des Buches: book

Über diesen Titel

Inhaltsangabe:

Book by Lutkepohl Helmut

Reseña del editor:

This graduate level textbook deals with analyzing and forecasting multiple time series. It considers a wide range of multiple time series models and methods. The models include vector autoregressive, vector autoregressive moving average, cointegrated, and periodic processes as well as state space and dynamic simultaneous equations models. Least squares, maximum likelihood, and Bayesian methods are considered for estimating these models. Different procedures for model selection or specification are treated and a range of tests and criteria for evaluating the adequacy of a chosen model are introduced. The choice of point and interval forecasts is considered and impulse response analysis, dynamic multipliers as well as innovation accounting are presented as tools for structural analysis within the multiple time series context. This 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 this book. Applied researchers involved in analyzing multiple time series may benefit from the book as it provides the background and tools for their task. It enables the reader to perform his or her analyses in a gap to the difficult technical literature on the topic.