New Introduction to Multiple Time Series Analysis

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New Introduction to Multiple Time Series Analysis image
ISBN-10:

3540262393

ISBN-13:

9783540262398

Released: Feb 10, 2006
Publisher: Springer
Format: Paperback, 785 pages
Related ISBN: 9783540401728

Description:

This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.

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