Introduction to Multiple Time Series Analysis

Lutkepohl, Helmut

ISBN 10: 3540531947 / ISBN 13: 9783540531944

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

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Like New. Codice articolo ERICA70435405319475

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Titolo: Introduction to Multiple Time Series Analysis

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

Data di pubblicazione: 1991

Legatura: Paperback

Condizione: Like New

Tipologia articolo: book

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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.