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Multivariate Time Series Analysis And Forecasting

In: Econometric Forecasting And High-Frequency Data Analysis

Author

Listed:
  • Manfred Deistler

    (Department of Mathematical Methods in Economics, TU Wien, Argentinierstr. 8, A-1040 Wien, Austria)

Abstract

A 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.

Suggested Citation

  • Manfred Deistler, 2008. "Multivariate Time Series Analysis And Forecasting," World Scientific Book Chapters, in: Roberto S Mariano & Yiu-Kuen Tse (ed.), Econometric Forecasting And High-Frequency Data Analysis, chapter 5, pages 159-189, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812778963_0005
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    More about this item

    Keywords

    Econometric Forecasting; High-Frequency Data; Time Series; Seasonality; Compound Autoregressive Processes; Affine Processes; Macroeconomic Modeling; Evaluating Forecast Uncertainty; Financial Data Analysis;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory

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