Introduction to Multiple Time Series Analysis

Lütkepohl, Helmut

ISBN 10: 3540531947 / ISBN 13: 9783540531944

Published by Springer-Verlag, 1991

About this Item

pp. 545. Seller Inventory # 354704208

Bibliographic Details

Title: Introduction to Multiple Time Series Analysis

Publisher: Springer-Verlag

Publication Date: 1991

Binding: Soft cover

Condition: New

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.