【书名】 New Introduction to Multiple Time Series Analysis
【作者】Helmut Lütkepohl
【出版社】Springer
【版本】second edition
【出版日期】2005
【文件格式】PDF
【文件大小】5.10 mb
【页数】712 Pages
【ISBN出版号】ISBN 3-540-40172-5
【资料类别】计量经济学，时间序列分析
【市面定价】58.20 美元（Amazon Paperback）
【扫描版还是影印版】影印版
【是否缺页】完整
【关键词】Time Series Analysis
【内容简介】
When I worked on my Introduction to Multiple Time Series Analysis (L¨utkepohl
(1991)), a suitable textbook for this field was not available. Given the
great importance these methods have gained in applied econometric work, it
is perhaps not surprising in retrospect that the book was quite successful.
Now, almost one and a half decades later the field has undergone substantial
development and, therefore, the book does not cover all topics of my own
courses on the subject anymore. Therefore, I started to think about a serious
revision of the book when I moved to the European University Institute in
Florence in 2002. Here in the lovely hills of Toscany I had the time to think
about bigger projects again and decided to prepare a substantial revision of
my previous book. Because the label Second Edition was already used for a
previous reprint of the book, I decided to modify the title and thereby hope
to signal to potential readers that significant changes have been made relative
to my previous multiple time series book.
【目录】
1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
2 Stable Vector Autoregressive Processes . . . . . . . . . . . . . . . . . . . . 13
3 Estimation of Vector Autoregressive Processes . . . . . . . . . . . . . 69
4 VAR Order Selection and Checking the Model Adequacy . . 135
5 VAR Processes with Parameter Constraints . . . . . . . . . . . . . . . 193
6 Vector Error Correction Models . . . . . . . . . . . . . . . . . . . . . . . . . . . 237
7 Estimation of Vector Error Correction Models . . . . . . . . . . . . . 269
8 Specification of VECMs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 325
9 Structural VARs and VECMs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 357
10 Systems of Dynamic Simultaneous Equations . . . . . . . . . . . . . . 387
11 Vector Autoregressive Moving Average Processes . . . . . . . . . . 419
12 Estimation of VARMA Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . 447
13 Specification and Checking the Adequacy of VARMA
Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 493
14 Cointegrated VARMA Processes . . . . . . . . . . . . . . . . . . . . . . . . . . 515
15 Fitting Finite Order VAR Models to Infinite Order
Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 531
16 Multivariate ARCH and GARCH Models . . . . . . . . . . . . . . . . . 557
17 Periodic VAR Processes and Intervention Models. . . . . . . . . . 585
18 State Space Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 611
Appendix
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