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New Introduction to Multiple Time Series Analysis Paperback – 2 Jun. 2010
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This is the new and totally revised edition of Lütkepohl's classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.
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- Publisher : Springer Berlin Heidelberg; 1st ed. 2006. Corr. 2nd printing 2007 edition (2 Jun. 2010)
- Language : English
- Paperback : 788 pages
- ISBN-10 : 3540262393
- ISBN-13 : 978-3540262398
- Dimensions : 15.49 x 4.52 x 23.5 cm
- Best Sellers Rank: 692,304 in Books (See Top 100 in Books)
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Nevertheless it is an excellent book, probably the best book covering VAR and VECM models. The early chapters of the book cover the VAR model really well including causality, parameter estimation and impulse response. Then there are excellent chapters on the VECM model and cointegration and estimation, though a lot of other stuff such as martingale differences and brownian motion are added to the mix to complicate the picture.
Chapter 10 is somewhat weak as most real world VAR models will probably be VARX models. More information could be given on linking estimated GLS and 2 and 3 stage LS - this leaves a gap with the traditional approach where it must be assumed that endogenous variables are the basis of all VARX models.
In this regard chapters 10 and 18 need more work as the Kalman filter could be used a lot more effectively to estimate more parsimonous models than the VECM structure.