Introduction to multiple time series analysis.

Lütkepohl, Helmut:

ISBN 10: 3540531947 / ISBN 13: 9783540531944

Editore: Springer-Verlag, 1991

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Ehem. Bibliotheksexemplar mit Signatur und Stempel. GUTER Zustand, ein paar Gebrauchsspuren. Ex-library with stamp and library-signature. GOOD conditon, some traces of use. Sf 166 3540531947 Sprache: Englisch Gewicht in Gramm: 550. Codice articolo 2088173

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Titolo: Introduction to multiple time series ...

Casa editrice: Springer-Verlag

Data di pubblicazione: 1991

Legatura: Brossura

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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.