Item description for New Introduction to Multiple Time Series Analysis by Helmut Lutkepohl...
Overview Heavily revised version of author's: Introduction to multiple time series analysis, 1991.
Publishers Description 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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Est. Packaging Dimensions: Length: 1.5" Width: 5.75" Height: 9" Weight: 2.55 lbs.
Release Date Oct 4, 2007
ISBN 3540262393 ISBN13 9783540262398
Availability 0 units.
More About Helmut Lutkepohl
Helmut Lutkepohl is Professor of Economics at the European University Institute in Florence, Italy. He is on leave from Humboldt University Berlin where he has been Professor of Econometrics in the Faculty of Economics and Business Administration since 1992. He had previously been Professor of Statistics at the University of Kiel (1987 1992) and the University of Hamburg (1985-1987) and was Visiting Assistant Professor at the University of California, San Diego (1984-85). Professor Lutkepohl is Associate Editor of Econometric Theory, the Journal of Applied Econometrics, Macroeconomic Dynamics, Empirical Economics and Econometric Reviewa. He has published extensively in learned journals and books and is author, co-author and editor of a number of books in econometrics and time series analysis. Professor Lutkepohl is the author of Introduction to Multiple Time Series Analysis (1991) and a Handbook of Matrices (1996). His current teaching and research interests include methodological issues related to the study of nonstationary, integrated time series and the analysis of the transmission mechanism of monetary policy in the Euro area.
Helmut Lutkepohl has an academic affiliation as follows - Univ. of Osnabruck Humboldt-Univ. zu Berlin, Germany Humboldt-Univ. zu.
Reviews - What do customers think about New Introduction to Multiple Time Series Analysis?
standard reference on VARS Jan 12, 2008
If you are looking for a book on VARs and cointegration, this is it. Very clearly written, and with numerical applications of every new concept (so that you can check the accuracy of your codes ...) Its a significantly improved version of the last edition. Highly recommended.
Welcomed Surprise Oct 12, 2007
This book provides a fairly elementary view of the vast subject of time series analysis. It easy to read and the author provides lots of basic calculations. Typically, such books stay away from the cutting edge topics but not this one. It is quite complete. I highly recommend it to anyone that knows a few basic things about time series and wants to take it much further.