Introduction to multiple time series analysis
Helmut Lütkepohl.
2nd ed.
Berlin ; New York : Springer-Verlag, ©1993.
xxi, 545 págs. : ilustraciones ; 25 cm.
ISBN: 3540569405 (Berlin), 0387569405 (New York)
Incluye referencias bibliográficas (p. [509]-517) e índices.
Reseña: MathSciNet, 94g:62173
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.