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New Introduction to Multiple Time Series Analysis


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Author:
H. Lütkepohl
Publisher: Springer
Copyright: 2005
ISBN-13: 978-3-540-26239-8
Pages: 764; paperback
Price: $59.75
Author:
H. Lütkepohl
Publisher: Springer
Copyright: 2005
ISBN-13:
Pages: 764; eBook
Price: $0.00

Comment from the Stata technical group

Incorporating recent advances, New Introduction to Multiple Time Series Analysis by Helmut Lütkepohl builds on the seminal Introduction to Multiple Time Series Analysis to create what is sure to become the specialty's standard textbook because of its style and depth of coverage.

Like its predecessor, this book provides the most complete coverage of stationary vector autoregressive (VAR) and vector autoregressive moving average (VARMA) models of any book. Incorporating more than six chapters of new material, New Introduction to Multiple Time Series Analysis also provides extensive coverage of the vector error-correction model (VECM) for cointegrated processes, structural VARs, structural VECMs, cointegrated VARMA processes, and multivariate models for conditionally heteroskedastic processes.

For each model, Lütkepohl provides a thorough discussion of six important topics:

  1. Model properties
  2. Estimators for model parameters and their properties
  3. Forecasting
  4. Structural analysis (e.g., impulse–response functions)
  5. Specification testing
  6. Inference

Written in a clear, building-block style, the book begins with first principles and neatly adds pieces to the foundation as needed.

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