Introduction to Multiple Time Series Analysis

Lütkepohl, Helmut:

ISBN 10: 3540531947 / ISBN 13: 9783540531944

Published by Springer Verlag;, 1991

About this Item

546 Seiten Das hier angebotene Buch stammt aus einer teilaufgelösten Bibliothek und kann die entsprechenden Kennzeichnungen aufweisen (Rückenschild, Instituts-Stempel.); der Buchzustand ist ansonsten ordentlich und dem Alter entsprechend gut. In ENGLISCHER Sprache. Sprache: Englisch Gewicht in Gramm: 940. Seller Inventory # 1431641

Bibliographic Details

Title: Introduction to Multiple Time Series Analysis

Publisher: Springer Verlag;

Publication Date: 1991

Binding: Broschiert

Condition: Gut

About this title

Synopsis:

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.