BOOK REVIEW: NEW INTRODUCTION TO MULTIPLE TIME SERIES ANALYSIS

摘要

Helmut Luetkepohl's New Introduction of Multiple Time Series Analysis is destined to become a classic that will sit, dog-eared and profusely highlighted, on the shelves of many practitioners and students of time series analysis. While very few advanced graduate-level textbooks go beyond the first edition, New Introduction to Multiple Time Series Analysis is the de facto third edition of Introduction to Multiple Time Series Analysis, first published in 1991. (The New adjective indicates a more substantial revision with additional material This influential book has been favorably reviewed at least three times previously in leading econometric journals (Baillie, 1993 in the Journal of Applied Econometrics; Jolliffee, 1993 in Technometrics; and Kilian, 2006 in Econometric Theory).