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Introduction to Multiple Time Series Analysis

Introduction to Multiple Time Series Analysis

Paperback

EconomicsGeneral MathematicsProbability & Statistics

ISBN10: 3540569405
ISBN13: 9783540569404
Publisher: Springer
Published: Aug 13 1993
Pages: 545
Weight: 1.97
Height: 1.15 Width: 6.69 Depth: 9.61
Language: English
This graduate level textbook deals with analyzing and forecasting multiple time series. The models discussed include vector autoregressive, vector autoregressive moving average, cointegrated, and periodic processes as well as state space and dynamic simultaneous equations models. Methods discussed include estimation, specification, and checking the adequacy of these models.

Also from

Lütkepohl, Helmut

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Probability & Statistics