New Introduction to Multiple Time Series Analysis

Helmut Lütkepohl

ISBN 10: 3540401725 / ISBN 13: 9783540401728

Verlag: Springer Berlin Heidelberg, 2005

Beschreibung

Druck auf Anfrage Neuware - Printed after ordering - 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.

Bestandsnummer des Verkäufers 9783540401728

Bibliografische Details

• Titel: New Introduction to Multiple Time Series Analysis
• Verlag: Springer Berlin Heidelberg
• Erscheinungsjahr: 2005
• Sprache: Englisch
• ISBN-10: 3540401725
• ISBN-13: 9783540401728
• Einband: Buch
• Zustand: Neu
• Abmessungen: 241B x 160 H x 48 T Millimeter Breite: 241 mm, Höhe: 160 mm, Tiefe: 48 mm
• Gewicht: 1332 Gramm

Über diesen Titel

Inhaltsangabe

This is the new and totally revised edition of Lütkepohl's classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It 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.

Über die Autorin bzw. den Autor

Charlotte y Peter Fiell son dos autoridades en historia, teoría y crítica del diseño y han escrito más de sesenta libros sobre la materia, muchos de los cuales se han convertido en éxitos de ventas. También han impartido conferencias y cursos como profesores invitados, han comisariado exposiciones y asesorado a fabricantes, museos, salas de subastas y grandes coleccionistas privados de todo el mundo. Los Fiell han escrito numerosos libros para TASCHEN, entre los que se incluyen 1000 Chairs, Diseño del siglo XX, El diseño industrial de la A a la Z, Scandinavian Design y Diseño del siglo XXI.