Introduction to Multiple Time Series Analysis

Lutkepohl, Helmut

ISBN 10: 3540531947 / ISBN 13: 9783540531944

Verlag: Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 1991

Beschreibung

Like New. Bestandsnummer des Verkäufers ERICA70435405319475

Bibliografische Details

Titel: Introduction to Multiple Time Series Analysis

Verlag: Springer-Verlag Berlin and Heidelberg GmbH & Co. K

Erscheinungsdatum: 1991

Einband: Paperback

Zustand: Like New

Art des Buches: book

Über diesen Titel

Inhaltsangabe:

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 as well as innovation accounting are presented as tools for structural analysis within the multiple time series context.