New Introduction to Multiple Time Series Analysis

by Helmut Lütkepohl

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.

Genres: Textbooks, Economics

785 pages, Hardcover

First published August 8, 2005

Reviews

[vivek Bhargava · Rating 5 out of 5]

Currently reading this book as part of my course. I personally find this book comprehensive yet amazingly precise. The details are nicely explained with relevant examples.
I have gone through the chapters after attending the lectures and hence it might be a little bit easier for me to understand the concepts than compared to someone who is reading the book all by herself.

As a graduate student, I still do not cover the topics in their entirety, but the book helps me understand the topics that I am required to learn. I also find it helpful to look for a few points that are extra to my course.

It's a good book for students who are getting involved with VARs and VECMs (that is what I have read till now, and I'll update the review once I read further).

But definitely, this book deserves a higher rating than it currently. For academic reading, this is a straight 5 star for me till now.

[Dom Owens · Rating 5 out of 5]

Seminal

[Saruul · Rating 5 out of 5]

Very elegant and straightforward explanations of multiple time series analysis. Top favorite go to textbook.

[Andreas Engström · Rating 5 out of 5]

Vector autoregression