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1、NewIntroductiontoMultipleTimeSeriesAnalysisHelmutLütkepohlNewIntroductiontoMultipleTimeSeriesAnalysisWith49Figuresand36Tables123ProfessorDr.HelmutLütkepohlDepartmentofEconomicsEuropeanUniversityInstituteVillaSanPaoloViadellaPiazzola4350133FirenzeItalyE-mail:helmut.luetkepohl@iue.itCatalog
2、ing-in-PublicationDataLibraryofCongressControlNumber:2005927322ISBN3-540-40172-5SpringerBerlinHeidelbergNewYorkThisworkissubjecttocopyright.Allrightsarereserved,whetherthewholeorpartofthematerialisconcerned,specificallytherightsoftranslation,reprinting,reuseofillustrations,recitation,broad
3、casting,reproductiononmicrofilmorinanyotherway,andstorageindatabanks.DuplicationofthispublicationorpartsthereofispermittedonlyundertheprovisionsoftheGermanCopyrightLawofSeptember9,1965,initscurrentversion,andpermissionforusemustalwaysbeobtainedfromSpringer-Verlag.Violationsareliableforpros
4、ecutionundertheGermanCopyrightLaw.SpringerisapartofSpringerScience+BusinessMediaspringeronline.com©Springer-VerlagBerlinHeidelberg2005PrintedinGermanyTheuseofgeneraldescriptivenames,registerednames,trademarks,etc.inthispubli-cationdoesnotimply,evenintheabsenceofaspecificstatement,thatsuchn
5、amesareexemptfromtherelevantprotectivelawsandregulationsandthereforefreeforgeneraluse.Coverdesign:ErichKirchnerProduction:HelmutPetriPrinting:StraussOffsetdruckSPIN10932797Printedonacid-freepaper–43/3153–543210PrefaceWhenIworkedonmyIntroductiontoMultipleTimeSeriesAnalysis(L¨utke-pohl(1991
6、)),asuitabletextbookforthisfieldwasnotavailable.Giventhegreatimportancethesemethodshavegainedinappliedeconometricwork,itisperhapsnotsurprisinginretrospectthatthebookwasquitesuccessful.Now,almostoneandahalfdecadeslaterthefieldhasundergonesubstantialdevelopmentand,therefore,thebookdoesnotcove
7、ralltopicsofmyowncoursesonthesubjectanymore.Therefore,IstartedtothinkaboutaseriousrevisionofthebookwhenImovedtotheEuropeanUniversityInstituteinFlorencein2002.HereinthelovelyhillsofToscanyIhadthetimetothinkaboutbiggerprojectsagainanddecidedtoprepareasubstantialrevisi
