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Introduction to Multiple Time Series Analysis|Helmut Lütkepohl

Introduction to Multiple Time Series Analysis

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Overview

This graduate level textbook deals with analyzing and forecasting multiple time series. The models discussed include vector autoregressive, vector autoregressive moving average, cointegrated, and periodic processes as well as state space and dynamic simultaneous equations models. Methods discussed include estimation, specification, and checking the adequacy of these models.

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Details

  • ISBN-13: 9783540569404
  • ISBN-10: 3540569405
  • Publisher: Springer
  • Publish Date: August 1993
  • Dimensions: 9.61 x 6.69 x 1.15 inches
  • Shipping Weight: 1.97 pounds
  • Page Count: 545

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