This reference work and graduate-level textbook deals with analyzing and forecasting multiple time series, considering a wide range of models and methods. It is based on the author’s successful Introduction to Multiple Time Series Analysis, updated to include the state of the art and latest developments in the field. The book enables readers to perform their analyses in a competent and up-to-date manner, bridging the gap to the difficult technical literature on the topic.
Author(s): Helmut Lutkepohl
Publisher: Springer
Year: 2005
Language: English
Pages: 765
New Introduction
to Multiple
Time Series Analysis......Page 1
ISBN 3540401725......Page 4
Preface......Page 6
Contents......Page 10
1
Introduction......Page 21
2
Stable Vector Autoregressive Processes......Page 30
3
Estimation of Vector Autoregressive Processes......Page 86
4
VAR Order Selection and Checking the Model
Adequacy......Page 151
5
VAR Processes with Parameter Constraints......Page 209
6
Vector Error Correction Models......Page 250
7
Estimation of Vector Error Correction Models......Page 281
8
Specification of VECMs......Page 337
9
Structural VARs and VECMs......Page 367
10
Systems of Dynamic Simultaneous Equations......Page 397
11
Vector Autoregressive Moving Average
Processes......Page 426
12
Estimation of VARMA Models......Page 454
13
Specification and Checking the Adequacy of
VARMA Models......Page 500
14
Cointegrated VARMA Processes......Page 522
15
Fitting Finite Order VAR Models to Infinite
Order Processes......Page 537
16
Multivariate ARCH and GARCH Models......Page 561
17
Periodic VAR Processes and Intervention
Models......Page 589
18
State Space Models......Page 615
A
Vectors and Matrices......Page 648
B
Multivariate Normal and Related Distributions......Page 680
C
Stochastic Convergence and Asymptotic
Distributions......Page 684
D
Evaluating Properties of Estimators and Test
Statistics by Simulation and Resampling
Techniques......Page 709
References......Page 715
Index of Notation......Page 735
Author Index......Page 743
Subject Index......Page 748
