New Introduction to Multiple Time Series Analysis - Helmut Lütkepohl

Title: New Introduction to Multiple Time Series Analysis

Author: Helmut Lütkepohl

ISBN : 3-540-40172-5

Publisher: Springer

Book 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.
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.
It bridges the gap to the difficult technical literature on the topic as it is a highly accessible and user-friendly work.
In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.

Content Level » Research