New Introduction to Multiple Time Series Analysis

Name: New Introduction to Multiple Time Series Analysis
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783540262398
Price: 53777 HUF
Availability: InStock

Szerző: H Lutkepohl

Nyelv:

Kötés: Puha kötésű

Kiadó: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Elérhetőség: Beszállítói készleten

Küldés 10-18 napon belül

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This reference work and graduate level textbook considers a wide range of models and methods for ana...

Információk a könyvről

Szerző

H Lutkepohl

Nyelv

Angol

Kötés

Könyv - Puha kötésű

Kiadva

2007

oldal

764

EAN

9783540262398

ISBN

3540262393

Enbook ID

01365650

Kiadó

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Súly

1172

Méretek

159 x 234 x 42

Teljes leírás

This reference work and graduate level textbook considers a wide range of models and methods for analyzing and forecasting multiple time series. The models covered include vector autoregressive, cointegrated, vector autoregressive moving average, multivariate ARCH and periodic processes as well as dynamic simultaneous equations and state space models. Least squares, maximum likelihood, and Bayesian methods are considered for estimating these models. Different procedures for model selection and model specification are treated and a wide range of tests and criteria for model checking are introduced. Causality analysis, impulse response analysis and innovation accounting are presented as tools for structural analysis.The book 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. Applied researchers involved in analyzing multiple time series may benefit from the book as it provides the background and tools for their tasks. It bridges the gap to the difficult technical literature on the topic.

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New Introduction to Multiple Time Series Analysis

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