New Introduction to Multiple Time Series Analysis

Lutkepohl, Helmut

ISBN 10: 3540262393 / ISBN 13: 9783540262398

Editore: Springer, 2006

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Titolo: New Introduction to Multiple Time Series ...

Casa editrice: Springer

Data di pubblicazione: 2006

Legatura: Brossura

Condizione: As New

Descrizione articolo

Riassunto:

Heavily revised version of author's: Introduction to multiple time series analysis, 1991.

Contenuti:

Introduction.- Finite Order Vector Autoregressive Processes: Stable Vector Autoregressive Processes.- Estimation of Vector Autoregressive Processes.- VAR Order Selection and Checking the Model Adequacy.- VAR Processes with Parameter Constraints. Cointegrated Processes: Vector Error Correction Models.- Estimation of Vector Error Correction Models.- Specification of VECMs. Structural and Conditional Models: Structural VARs and VECMs.- Systems of Dynamic Simultaneous Equations. Infinite Order Vector Autoregressive Processes: Vector Autoregressive Moving Average Processes.- Estimation of VARMA Models.- Specification and Checking the Adequacy of VARMA.- Cointegrated VARMA Processes.- Fitting Finite Order VAR Models to Infinite Order Processes. Time Series Topics: Multivariate ARCH and GARCH Models.- Periodic VAR Processes and Intervention Models.- State Space Models. Appendices: Vectors and Matrices.- Multivariate Normal and Related Distributions.- Stochastic Convergence and Asymptotic Distributions.- Evaluating Properties of Estimators and Test Statistics by Simulation and Resampling Techniques.