New Introduction to Multiple Time Series Analysis PDF Download Ebook. Helmut Lütkepohl 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.
The book bridges the gap to the difficult technical literature on the topic. It 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.
The book is oriented towards econometric applications; the text was prepared with economics and business students in mind, and examples and exercises are chosen accordingly. The text presents a collection of many of the topics currently treated in the literature. a ] this new version of a previous book by the author represents a timely addition to the time series and econometric literature. a ] The selection of topics responds to current trends in the literature.
Like its predecessor, this book provides the most complete coverage of stationary vector autoregressive (VAR) and vector autoregressive moving average (VARMA) models of any book. Incorporating more than six chapters of new material, this book also provides extensive coverage of the vector error-correction model (VECM) for cointegrated processes, structural VARs, structural VECMs, cointegrated VARMA processes, and multivariate models for conditionally heteroskedastic processes.
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