New Introduction to Multiple Time Series Analysis

ISBN-10: 3540262393
ISBN-13: 9783540262398
Edition: 2005
List price: $69.95 Buy it from $66.58
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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,  More...

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Book details

List price: $69.95
Copyright year: 2005
Publisher: Springer
Publication date: 7/26/2007
Binding: Paperback
Pages: 764
Size: 5.75" wide x 9.00" long x 1.50" tall
Weight: 2.530
Language: English

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.

Helmut Luuml;tkepohl 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 (1987ndash;1992) and the University of Hamburg (1985-1987) and was Visiting Assistant Professor at the University of California, San Diego (1984-85). Professor Luuml;tkepohl 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 Luuml;tkepohl 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.

Introduction
Stable vector autoregressive processes
Estimation of vector autoregressive processes
VAR order selection and checking the model adequacy
VAR processes with parameter constraints
Vector error correction models
Estimation of vector error correction models
Specification of VECMs
Structural VARs and VECMs
Systems of dynamic simultaneous equations
Vector autoregressive moving average processes
Estimation of VARMA models
Specification and checking the adequacy of VARMA models
Cointegrated VARMA processes
Fitting finite order VAR models to infinite order processes
Multivariate ARCH and GARCH models
Periodic VAR processes and intervention models
State space models

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