2005年springer出版的多元时间序列分析大牛Lutkepohl的作品“New introduction to multiple time series analysis”.

Front Matter

Introduction

Part I Finite Order Vector Autoregressive Processes

1 Stable Vector Autoregressive Processes

2 Estimation of Vector Autoregressive Processes

3 VAR Order Selection and Checking the Model Adequacy

4 VAR Processes with Parameter Constraints

Part II Cointegrated Processes

1 Vector Error Correction Models

2 Estimation of Vector Error Correction Models

3 Specification of VECMs

Part III Structural and Conditional Models

1 Structural VARs and VECMs

2 Systems of Dynamic Simultaneous Equations

Part IV Infinite Order Vector Autoregressive Processes

1 Vector Autoregressive Moving Average Processes

2 Estimation of VARMA Models

3 Specification and Checking the Adequacy of VARMA Models

4 Cointegrated VARMA Processes

5 Fitting Finite Order VAR Models to Infinite Order Processes

Part V Time Series Topics

1 Multivariate ARCH and GARCH Models

2 Periodic VAR Processes and Intervention Models

3 State Space Models

Back Matter

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是pdf文件，非常清楚！确实是一本不可多得的时间序列分析的好书！谢谢楼主！