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Lütkepohl, Helmut

New Introduction to Multiple Time Series Analysis

Lütkepohl, Helmut - New Introduction to Multiple Time Series Analysis, ebook

186,00€

Ebook, PDF with Adobe DRM
ISBN: 9783540277521
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Table of contents

1. Introduction

Part 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

Part II. Cointegrated Processes

6. Vector Error Correction Models

7. Estimation of Vector Error Correction Models

8. Specification of VECMs

Part III. Structural and Conditional Models

9. Structural VARs and VECMs

10. Systems of Dynamic Simultaneous Equations

Part IV. Infinite Order Vector Autoregressive Processes

11. Vector Autoregressive Moving Average Processes

12. Estimation of VARMA Models

13. Specification and Checking the Adequacy of VARMA Models

14. Cointegrated VARMA Processes

15. Fitting Finite Order VAR Models to Infinite Order Processes

Part V. Time Series Topics

16. Multivariate ARCH and GARCH Models

17. Periodic VAR Processes and Intervention Models

18. State Space Models

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Keywords: BUSINESS & ECONOMICS / Management Science BUS042000

Author(s)
Publisher
Springer
Publication year
2005
Language
en
Edition
1
Category
Economy
Format
Ebook
eISBN (PDF)
9783540277521

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