New Introduction to Multiple Time Series Analysis

Front Cover
Springer Science & Business Media, Jul 26, 2007 - Business & Economics - 764 pages
1 Review
When I worked on my Introduction to Multiple Time Series Analysis (Lutk ̈ ̈- pohl (1991)), a suitable textbook for this ?eld 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 ?eld 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 ToscanyIhadthetimetothink 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 signi?cant changes have been made relative to my previous multiple time series book.
 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

I
1
II
2
III
4
IV
5
V
13
VII
18
VIII
24
IX
26
CLXX
406
CLXXI
408
CLXXII
411
CLXXIII
412
CLXXIV
419
CLXXV
420
CLXXVI
423
CLXXVII
426

X
31
XI
32
XII
33
XIII
39
XIV
41
XVI
51
XVII
63
XVIII
66
XX
69
XXI
70
XXII
73
XXIII
77
XXIV
80
XXV
82
XXVI
83
XXVII
85
XXIX
87
XXXI
89
XXXII
90
XXXIII
94
XXXIV
96
XXXV
98
XXXVI
100
XXXVII
102
XXXVIII
103
XXXIX
104
XL
106
XLI
109
XLII
116
XLIII
118
XLIV
126
XLV
130
XLVI
132
XLVII
135
XLVIII
136
L
138
LI
143
LII
145
LIII
146
LV
148
LVI
151
LVII
153
LVIII
157
LX
161
LXI
169
LXII
171
LXIII
174
LXV
177
LXVI
181
LXVII
182
LXVIII
184
LXIX
189
LXX
191
LXXI
193
LXXII
194
LXXIV
195
LXXV
200
LXXVI
201
LXXVII
202
LXXVIII
204
LXXIX
205
LXXX
206
LXXXI
212
LXXXII
217
LXXXIII
221
LXXXIV
222
LXXXV
223
LXXXVI
225
LXXXVII
227
LXXXIX
228
XC
230
XCII
231
XCIII
237
XCIV
238
XCV
243
XCVI
244
XCVII
256
XCVIII
258
XCIX
261
C
262
CI
265
CII
269
CIV
286
CV
287
CVI
291
CVII
294
CVIII
299
CIX
300
CX
302
CXI
305
CXIII
307
CXIV
309
CXVI
310
CXVIII
312
CXIX
315
CXX
316
CXXI
317
CXXII
318
CXXIII
320
CXXIV
321
CXXV
323
CXXVI
324
CXXVII
325
CXXVIII
327
CXXIX
328
CXXX
330
CXXXI
331
CXXXIII
332
CXXXIV
335
CXXXV
337
CXXXVI
341
CXXXVII
342
CXXXVIII
343
CXXXIX
345
CXLI
348
CXLIII
351
CXLIV
352
CXLV
357
CXLVI
358
CXLVIII
362
CXLIX
364
CL
367
CLI
368
CLII
372
CLIV
376
CLV
377
CLVI
383
CLVII
384
CLVIII
385
CLIX
387
CLX
388
CLXI
390
CLXII
393
CLXIII
394
CLXIV
395
CLXV
396
CLXVI
398
CLXVII
400
CLXVIII
401
CLXIX
405
CLXXVIII
429
CLXXIX
432
CLXXX
434
CLXXXI
435
CLXXXII
440
CLXXXIII
442
CLXXXV
444
CLXXXVII
447
CLXXXVIII
452
CLXXXIX
455
CXC
459
CXCII
461
CXCIII
463
CXCIV
464
CXCV
467
CXCVI
468
CXCVII
470
CXCVIII
473
CXCIX
474
CC
477
CCI
479
CCII
486
CCIII
487
CCIV
490
CCV
491
CCVI
493
CCVII
494
CCVIII
497
CCIX
498
CCX
499
CCXI
501
CCXII
503
CCXIII
505
CCXIV
507
CCXV
508
CCXVII
510
CCXVIII
511
CCXIX
512
CCXX
515
CCXXI
516
CCXXII
518
CCXXIII
519
CCXXIV
521
CCXXV
522
CCXXVI
523
CCXXVII
525
CCXXVIII
526
CCXXX
528
CCXXXI
529
CCXXXII
531
CCXXXIII
532
CCXXXIV
536
CCXXXV
538
CCXXXVI
540
CCXXXVII
543
CCXXXVIII
545
CCXXXIX
546
CCXL
549
CCXLI
551
CCXLII
552
CCXLIII
557
CCXLIV
559
CCXLV
561
CCXLVI
562
CCXLVII
563
CCXLVIII
564
CCXLIX
567
CCL
569
CCLI
571
CCLII
576
CCLIII
577
CCLIV
578
CCLVI
579
CCLVII
580
CCLVIII
582
CCLIX
584
CCLX
585
CCLXI
587
CCLXIII
589
CCLXIV
591
CCLXV
592
CCLXVI
595
CCLXVII
602
CCLXVIII
604
CCLXX
605
CCLXXI
606
CCLXXII
608
CCLXXIII
609
CCLXXV
611
CCLXXVI
613
CCLXXVII
624
CCLXXVIII
625
CCLXXIX
626
CCLXXX
630
CCLXXXI
631
CCLXXXII
632
CCLXXXIII
633
CCLXXXIV
634
CCLXXXV
636
CCLXXXVI
637
CCLXXXVII
641
CCLXXXVIII
645
CCXC
646
CCXCI
647
CCXCII
649
CCXCIII
650
CCXCIV
651
CCXCV
652
CCXCVI
653
CCXCVIII
654
CCXCIX
655
CCC
656
CCCI
658
CCCIII
659
CCCIV
660
CCCV
661
CCCVI
662
CCCVII
664
CCCVIII
671
CCCIX
675
CCCX
677
CCCXI
678
CCCXII
681
CCCXIV
684
CCCXV
685
CCCXVI
689
CCCXVII
692
CCCXVIII
693
CCCXIX
694
CCCXX
698
CCCXXI
703
CCCXXII
707
CCCXXIII
708
CCCXXIV
709
CCCXXV
713
CCCXXVI
733
CCCXXVII
741
CCCXXVIII
747
Copyright

Other editions - View all

Common terms and phrases

Popular passages

Page 725 - Consistent estimation of the number of cointegration relations in a vector autoregressive model, in R. Galata & H. Kiichenhoff (eds), Econometrics in Theory and Practice. Festschrift for Hans SchneeweifS, Physica, Heidelberg, pp.
Page 724 - Cointegration testing using pseudo likelihood ratio tests. Econometric Theory 13, 149-169. Lucas, A., 1998. Inference on cointegrating ranks using LR and LM tests based on pseudo-likelihoods Econometric Reviews 17, 185-214.
Page 731 - TSAY, RS (1984). Order selection in nonstationary autoregressive models. Annals of Statistics 12 1425-1433.
Page 728 - Poskitt, DS (1987). A modified Hannan-Rissanen strategy for mixed autoregressive-moving average order determination, Biometrika 74: 781-790. Poskitt, DS (1989). A method for the estimation of transfer function models, Journal of the Royal Statistical Society B51: 29-46.
Page 720 - Hannan, EJ (1976). The identification and parameterization of ARMAX and state space forms, Econometrica 44: 713-723.
Page 725 - Lutkepohl, H., 1988. Asymptotic distribution of the moving average coefficients of an estimated vector autoregressive process.
Page 714 - Basu, AK & Sen Roy, S. (1987). On asymptotic prediction problems for multivariate autoregressive models in the unstable nonexplosive case, Calcutta Statistical Association Bulletin 36: 29-37.

References to this book

All Book Search results »

Bibliographic information