Lütkepohl, Helmut.
Introduction to multiple time series analysis / Helmut Lütkepohl.
— 2nd ed. — Berlin ; New York : Springer-Verlag, c1993. xxi, 545 p. : il. ; 25 cm.
Incluye referencias bibliográficas (p. [509]-517) e índices.
Contenido: Introduction — Stable Vector Autoregressive Processes — Estimation of Vector Autoregressive Processes — VAR Order Selection and Checking the Model Adequacy — VAR Processes with Parameter Constraints — Vector Autoregressive Moving Average Processes — Estimation of VARMA Models — Specification and Checking the Adequacy of VARMA Models — Fitting Finite Order VAR Models to Infinite Order Processes — Systems of Dynamic Simultaneous Equations — Nonstationary Systems with Integrated and Cointegrated Variables — Periodic VAR Processes and Intervention Models — State Space Models.
ISBN 3540569405 (Berlin). — ISBN 0387569405 (New York)
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