Introduction to Multiple Time Series Analysis

Lütkepohl, Helmut:

ISBN 10: 3540531947 / ISBN 13: 9783540531944

Editore: Springer 31.07.1991., 1991

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546 Seiten Exemplar aus einer wissenchaftlichen Bibliothek Sprache: Englisch Gewicht in Gramm: 969 24,1 x 16,5 x 4,1 cm, Taschenbuch.

Codice articolo 382548

Dati bibliografici

• Titolo: Introduction to Multiple Time Series Analysis
• Editore: Springer 31.07.1991.
• Data di pubblicazione: 1991
• Lingua: Inglese
• ISBN 10: 3540531947
• ISBN 13: 9783540531944
• Rilegatura: Brossura
• Condizione: Gut
• Peso: 969 grammi
• Cataloghi dei venditori:
  • Alle Bücher

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Riassunto

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.