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This graduate-level textbook offers a comprehensive exploration of models and methods for analyzing and forecasting multiple time series, including vector autoregressive and multivariate ARCH models. It covers estimation techniques, model selection, and structural analysis tools, making it suitable for students and applied researchers in various fields.
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New Introduction to Multiple Time Series Analysis, Helmut Lütkepohl
- Language
- Released
- 2006
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- (Paperback)
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- Title
- New Introduction to Multiple Time Series Analysis
- Language
- English
- Authors
- Helmut Lütkepohl
- Released
- 2006
- Format
- Paperback
- ISBN13
- 9783540262398
- Category
- Textbooks, Mathematics, Nature in general
- Description
- This graduate-level textbook offers a comprehensive exploration of models and methods for analyzing and forecasting multiple time series, including vector autoregressive and multivariate ARCH models. It covers estimation techniques, model selection, and structural analysis tools, making it suitable for students and applied researchers in various fields.