New Introduction to Multiple Time Series Analysis |  | Author: Helmut Lütkepohl
Publisher: Springer
List Price: $69.95
Buy New: $53.08
as of 11/24/2009 18:06 CST details
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Rating:  4 reviews
Sales Rank: 115229
Media: Paperback
Pages: 764
Number Of Items: 1
Shipping Weight (lbs): 2.6
Dimensions (in): 9.3 x 6 x 1.7
ISBN: 3540262393
Dewey Decimal Number: 330
EAN: 9783540262398
ASIN: 3540262393
Publication Date: October 4, 2007
Availability: Usually ships in 1-2 business days
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Product Description
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 model specification are treated and a wide range of tests and criteria for model checking are introduced. Causality analysis, impulse response analysis and innovation accounting are presented as tools for structural analysis. The book 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. Applied researchers involved in analyzing multiple time series may benefit from the book as it provides the background and tools for their tasks. It bridges the gap to the difficult technical literature on the topic.
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| Customer Reviews:
Best time series book I've read yet November 24, 2009
Saif Eddin Jabari (Minneapolis, MN)
This book has several strengths; (i) it is accessible to a wide audience, in contrast to other texts on the subject which tend to address the economics/econometrics student/practitioner; (ii) it is self-contained, simple, and yet rigorous; (iii) the writing style, terminology, and notation are consistent with those typically used in univariate time series texts.
No measure theory or mathematical analysis knowhow is needed, but good knowledge in first year calculus and matrix algebra (undergrad level) are required. A basic understanding of univariate time series analysis and maximum likelihood estimation are not necessary, but would be helpful.
One of the best! October 19, 2009
pdfreader
I love this book - it provides an excellent introduction to the core of multiple time series. I especially like the discussions on cointegration and granger causality, which have proven to be extremely useful in practice. I would recommend it to anyone.
standard reference on VARS January 12, 2008
Jesus Sierra (mexico)
5 out of 5 found this review helpful
If you are looking for a book on VARs and cointegration, this is it.
Very clearly written, and with numerical applications of every new concept (so that you can check the accuracy of your codes ...)
Its a significantly improved version of the last edition.
Highly recommended.
 Welcomed Surprise October 12, 2007
Francisco Bido (Lawrence, KS United States)
3 out of 3 found this review helpful
This book provides a fairly elementary view of the vast subject of time series analysis. It easy to read and the author provides lots of basic calculations. Typically, such books stay away from the cutting edge topics but not this one. It is quite complete. I highly recommend it to anyone that knows a few basic things about time series and wants to take it much further.
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