Helmut Lütkepohl
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Helmut Lütkepohl
New Introduction to Multiple Time Series Analysis
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.
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Helmut Lütkepohl
Forecasting Aggregated Vector ARMA Processes
This study is concerned with forecasting time series variables and the impact of the level of aggregation on the efficiency of the forecasts. Since temporally and contemporaneously disaggregated data at various levels have become available for many countries, regions, and variables during the last decades the question which data and procedures to use for prediction has become increasingly important in recent years.
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Helmut Lütkepohl
Introduction to Multiple Time Series Analysis
This graduate level textbook deals with analyzing and forecasting multiple time series. It considers a wide range of multiple time series models and methods.
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