New Introduction to Multiple Time Series Analysis
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Summary
This reference work and graduate level textbook considers a wide range of models and methods for analyzing and forecasting multiple time series, which include vector autoregressive, cointegrated, vector Autoregressive moving average, multivariate ARCH and periodic processes as well as dynamic simultaneous equations and state space models.
- Type
- book
- Published
- 2007-10-04
- Cited by
- 6,319
- References
- 7
- Access
- Open access
- OpenAlex
- https://openalex.org/W2947626232
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:62744858
Keywords
Series (stratigraphy), Computer science, Geology
References
- Topics in structural VAR econometrics
- Conflict Theory, Economic Conditions, and Homicide
- Sources of Business Cycle Fluctuations
- Applied Econometric Time Series
- Co-integration and error correction: representation, estimation and testing
- Statistical Inference
- Time Series Analysis.
- Sources of Business Cycle Fluctuations
Cited by
- Essays in Applied Macroeconomics
- On Coefficient Matrices Computation of Structured Vector Autoregressive Model
- Mitigating the effects of external debt burden in Africa
- Essays in structural macroeconometrics
- Bayesian Estimation of a DSGE Model with Asset Prices
- Posterior probability profiles for the automated assessment of the recovery of patients with stroke from activity of daily living tasks
- Testing all six person-oriented principles in dynamic factor analysis
- Identifying effective connectivity parameters in simulated fMRI: a direct comparison of switching linear dynamic system, stochastic dynamic causal, and multivariate autoregressive models
- Biosignal Interpretation I
- Market Risk and Financial Markets Modeling
- New Keynesian DSGE models: theory, empirical implementation, and specification
- Type‐II generalized family‐wise error rate formulas with application to sample size determination
- Maximum Likelihood Estimation of State-Space Models
- A Bayesian latent process spatiotemporal regression model for areal count data.
- The Long-Run Relationship between House Prices and Income Reexamined: The Role of Mortgage Interest Deduction and Mortgage Product Innovation
- On Multivariate Time Series Model Selection Involving Many Candidate VAR Models
- Estimation and inference in cross-sectionally dependent panel data models
- Modelling nonlinear economic time series
- Empirische Untersuchung der Preisdynamiken im österreichischen B2C Unterhaltungs- und Haushaltselektronik Online Handel
- The monetary transmission mechanism in the Euro Area : has it changed with the EMU? A VAR approach, with fiscal policy and financial stress considerations
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