New Introduction to Multiple Time Series Analysis

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.

ISBN:	9783540262398
Publisher:	Springer Berlin Heidelberg
Imprint:	Springer
Published date:	10 Feb 2006
DEWEY:	519.55
DEWEY edition:	22
Language:	English
Number of pages:	764
Weight:	1172g
Height:	234mm
Width:	159mm
Spine width:	42mm

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