Lütkepohl, New Introduction to Multiple Time Series Analysis
Lütkepohl, New Introduction to Multiple Time Series Analysis
The attached zip has most of the examples from Helmut Lütkepohl's, New Introduction to Multiple Time Series, 1995, Springer-Verlag. Most of the examples here are for various aspects of VAR analysis. Many of the examples do diagnostics of various types on a VAR with multivariate tests for normality, autocorrelation and stability.
Last bumped by TomDoan on Thu Jun 28, 2012 12:52 pm.