New Introduction to Multiple Time Series Analysis
edited by Helmut Lütkepohl
| Year of publication: |
2005
|
|---|---|
| Authors: | Lütkepohl, Helmut |
| Publisher: |
Berlin Heidelberg : Springer-Verlag GmbH |
| Subject: | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Kointegration | Cointegration | ARCH-Modell | ARCH model | Theorie | Theory | Deutschland | Germany | Multiple Zeitreihenanalyse |
| Description of contents: | Table of Contents [external.dandelon.com] ; Description [zbmath.org] |
| Extent: | Online-Ressource v.: digital |
|---|---|
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Lehrbuch ; Textbook ; Bibliografie enthalten ; Bibliography included |
| Language: | English |
| Notes: | Früher u.d.T.: Lütkepohl, Helmut: Introduction to multiple time series analysis Introduction; Stable Vector Autoregressive Processes; Estimation of Vector Autoregressive Processes; VAR Order Selection and Checking the Model Adequacy; VAR Processes with Parameter Constraints; Vector Error Correction Models; Estimation of Vector Error Correction Models; Specification of VECMs; Structural VARs and VECMs; Systems of Dynamic Simultaneous Equations; 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 Multivariate ARCH and GARCH ModelsPeriodic VAR Processes and Intervention Models; State Space Models; |
| ISBN: | 978-3-540-27752-1 ; 978-3-540-40172-8 |
| Other identifiers: | 10.1007/3-540-27752-8 [DOI] |
| Classification: | Mathematische Statistik ; Methoden und Techniken der Volkswirtschaft |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014415231