MULTIVARIATE TIME SERIES ANALYSIS AND FORECASTING

Manfred Deistler
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Manfred Deistler: Department of Mathematical Methods in Economics, TU Wien, Argentinierstr. 8, A-1040 Wien, Austria

Chapter 5 in Econometric Forecasting and High-Frequency Data Analysis, 2008, pp 159-189 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractA condensed presentation of linear multivariate time series models, their identification and their use for forecasting is given. General stationary processes, ARMA and state space systems and linear dynamic factor models are described.

Keywords: Econometric Forecasting; High-Frequency Data; Time Series; Seasonality; Compound Autoregressive Processes; Affine Processes; Macroeconomic Modeling; Evaluating Forecast Uncertainty; Financial Data Analysis (search for similar items in EconPapers)
JEL-codes: C4 C5 C7 (search for similar items in EconPapers)
Date: 2008
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