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New Introduction to Multiple Time Series Analysis

BuchKartoniert, Paperback
764 Seiten
Englisch
Springererschienen am10.02.20062005
This reference work and graduate level textbook considers a wide range of models and methods for analyzing and forecasting multiple time series. Different procedures for model selection and model specification are treated and a wide range of tests and criteria for model checking are introduced.mehr
Verfügbare Formate
BuchKartoniert, Paperback
EUR139,09
BuchGebunden
EUR213,99
E-BookPDF1 - PDF WatermarkE-Book
EUR128,39

Produkt

KlappentextThis reference work and graduate level textbook considers a wide range of models and methods for analyzing and forecasting multiple time series. Different procedures for model selection and model specification are treated and a wide range of tests and criteria for model checking are introduced.
ZusammenfassungThis 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.
Details
ISBN/GTIN978-3-540-26239-8
ProduktartBuch
EinbandartKartoniert, Paperback
Verlag
Erscheinungsjahr2006
Erscheinungsdatum10.02.2006
Auflage2005
Seiten764 Seiten
SpracheEnglisch
Gewicht1156 g
IllustrationenXXI, 764 p.
Artikel-Nr.10705659

Inhalt/Kritik

Inhaltsverzeichnis
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.mehr

Schlagworte