Lütkepohl, Helmut Introduction to multiple time series analysis. 2nd ed. (English) Zbl 0835.62075 Berlin: Springer-Verlag. xxi, 545 p. (1993). See the review of the 1st, 1991-edition, Zbl 0729.62085. Cited in 69 Documents MSC: 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 62M20 Inference from stochastic processes and prediction 62-01 Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics 91B84 Economic time series analysis 93E12 Identification in stochastic control theory Keywords:vector time series; VAR models; VARMA models; difference equation models with exogeneous variables; cointegrated VAR models; periodic VAR models; intervention models; state-space models; stability; stationarity; invertibility; causality; h-step ahead prediction; impulse response analysis; parameter constraints; parameterizations; asymptotic distributions; forecasts; structure determination; order selection; residual checking; testing for nonnormality; structural change; exercises; multivariate time series Citations:Zbl 0729.62085 PDFBibTeX XMLCite \textit{H. Lütkepohl}, Introduction to multiple time series analysis. 2nd ed. Berlin: Springer-Verlag (1993; Zbl 0835.62075)