This reference work and graduate level textbook considers a wide range of models and methods for analyzing and forecasting multiple time series. The models covered include vector autoregressive, cointegrated,vector autoregressive moving...

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...

This graduate level textbook deals with analyzing and forecasting multiple time series. It considers a wide range of multiple time series models and methods. The models include vector autoregressive, vector autoregressive moving average,...