New Introduction to Multiple Time Series Analysis

  title={New Introduction to Multiple Time Series Analysis},
  author={Helmut Ltkepohl},
This reference work and graduate level textbook considers a wide range of models and methods for analyzing and forecasting multiple time series. The models covered include vector autoregressive, cointegrated, vector autoregressive moving average, multivariate ARCH and periodic processes as well as dynamic simultaneous equations and state space models. Least squares, maximum likelihood, and Bayesian methods are considered for estimating these models. Different procedures for model selection and… 
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  • 1986