Introduction to Multiple Time Series Analysis

This graduate level textbook deals with analyzing and forecasting multiple time series. The models discussed include vector autoregressive, vector autoregressive moving average, cointegrated, and periodic processes as well as state space and dynamic simultaneous equations models. Methods discussed include estimation, specification, and checking the adequacy of these models.

• | Author: Helmut Lütkepohl
• | Publisher: Springer
• | Publication Date: Aug 13, 1993
• | Number of Pages: 545 pages
• | Binding: Paperback or Softback
• | ISBN-10: 3540569405
• | ISBN-13: 9783540569404