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scientific article; zbMATH DE number 811061
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scientific article; zbMATH DE number 811061

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    30 October 1995
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    vector time series
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    VAR models
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    VARMA models
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    difference equation models with exogeneous variables
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    cointegrated VAR models
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    periodic VAR models
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    intervention models
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    state-space models
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    stability
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    stationarity
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    invertibility
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    causality
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    h-step ahead prediction
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    impulse response analysis
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    parameter constraints
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    parameterizations
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    asymptotic distributions
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    forecasts
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    structure determination
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    order selection
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    residual checking
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    testing for nonnormality
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    structural change
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    exercises
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    multivariate time series
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