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Introduction to Multiple Time Series Analysis [electronic resource] / by Helmut Lütkepohl.

By: Lütkepohl, Helmut [author.].
Contributor(s): SpringerLink (Online service).
Material type: materialTypeLabelBookPublisher: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 1991Edition: 1st ed. 1991.Description: XXI, 546 p. 2 illus. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9783662026915.Subject(s): Econometrics | Statistics  | Engineering mathematics | Engineering—Data processing | Quantitative Economics | Statistics | Mathematical and Computational Engineering ApplicationsAdditional physical formats: Printed edition:: No title; Printed edition:: No titleDDC classification: 330.9 Online resources: Click here to access online
Contents:
1. Introduction -- I. Finite Order Vector Autoregressive Processes -- 2. Stable Vector Autoregressive Processes -- 3. Estimation of Vector Autoregressive Processes -- 4. VAR Order Selection and Checking the Model Adequacy -- 5. VAR Processes with Parameter Constraints -- II. Infinite Order Vector Autoregressive Processes -- 6. Vector Autoregressive Moving Average Processes -- 7. Estimation of VARMA Models -- 8. Specification and Checking the Adequacy of VARMA Models -- 9. Fitting Finite Order VAR Models to Infinite Order Processes -- III. Systems with Exogenous Variables and Nonstationary Processes -- 10. Systems of Dynamic Simultaneous Equations -- 11. Nonstationary Systems with Integrated and Cointegrated Variables -- 12. Periodic VAR Processes and Intervention Models -- 13. State Space Models -- Appendices -- Appendix A. Vectors and Matrices -- Appendix B. Multivariate Normal and Related Distributions -- Appendix C. Convergence of Sequences of Random Variables and Asymptotic Distributions -- Appendix D. Evaluating Properties of Estimators and Test Statistics by Simulation and Resampling Techniques -- Appendix E. Data Used for Examples and Exercises -- References -- List of Propositions and Definitions -- Index of Notation -- Author Index.
In: Springer Nature eBook
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1. Introduction -- I. Finite Order Vector Autoregressive Processes -- 2. Stable Vector Autoregressive Processes -- 3. Estimation of Vector Autoregressive Processes -- 4. VAR Order Selection and Checking the Model Adequacy -- 5. VAR Processes with Parameter Constraints -- II. Infinite Order Vector Autoregressive Processes -- 6. Vector Autoregressive Moving Average Processes -- 7. Estimation of VARMA Models -- 8. Specification and Checking the Adequacy of VARMA Models -- 9. Fitting Finite Order VAR Models to Infinite Order Processes -- III. Systems with Exogenous Variables and Nonstationary Processes -- 10. Systems of Dynamic Simultaneous Equations -- 11. Nonstationary Systems with Integrated and Cointegrated Variables -- 12. Periodic VAR Processes and Intervention Models -- 13. State Space Models -- Appendices -- Appendix A. Vectors and Matrices -- Appendix B. Multivariate Normal and Related Distributions -- Appendix C. Convergence of Sequences of Random Variables and Asymptotic Distributions -- Appendix D. Evaluating Properties of Estimators and Test Statistics by Simulation and Resampling Techniques -- Appendix E. Data Used for Examples and Exercises -- References -- List of Propositions and Definitions -- Index of Notation -- Author Index.

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