Buch, Englisch, 764 Seiten, Format (B × H): 160 mm x 241 mm, Gewicht: 1332 g
Buch, Englisch, 764 Seiten, Format (B × H): 160 mm x 241 mm, Gewicht: 1332 g
ISBN: 978-3-540-40172-8
Verlag: Springer Berlin Heidelberg
This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It 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.
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
- Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
- Technische Wissenschaften Technik Allgemein Computeranwendungen in der Technik
- Technische Wissenschaften Technik Allgemein Mathematik für Ingenieure
- Mathematik | Informatik EDV | Informatik Professionelle Anwendung Computer-Aided Design (CAD)
- Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
- Mathematik | Informatik EDV | Informatik Angewandte Informatik Computeranwendungen in Wissenschaft & Technologie
Weitere Infos & Material
Finite Order Vector Autoregressive Processes.- Stable Vector Autoregressive Processes.- Estimation of Vector Autoregressive Processes.- VAR Order Selection and Checking the Model Adequacy.- VAR Processes with Parameter Constraints.- Cointegrated Processes.- Vector Error Correction Models.- Estimation of Vector Error Correction Models.- Specification of VECMs.- Structural and Conditional Models.- Structural VARs and VECMs.- Systems of Dynamic Simultaneous Equations.- Infinite Order Vector Autoregressive Processes.- 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.- Time Series Topics.- Multivariate ARCH and GARCH Models.- Periodic VAR Processes and Intervention Models.- State Space Models.
