Titlebook: Introduction to Multiple Time Series Analysis; Helmut Lütkepohl Textbook 19911st edition Springer-Verlag Berlin Heidelberg 1991 Resampling

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delusion

調(diào)味品

ENNUI

tolerance

Systems of Dynamic Simultaneous Equationsextensions. So far we have assumed that all variables of a system are stochastic and they all have essentially the same status in that they are all determined within the system. In other words, the model describes the joint generation process of all the observable variables of interest. In practice

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HERE

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State Space Modelssciences, and engineering. The terminology is therefore largely from these fields. The general idea behind these models is that an observed multiple time series ....., .. depends upon a possibly unobserved state .. which is driven by a stochastic process.

DRAFT

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Nonstationary Systems with Integrated and Cointegrated Variablesnonstationary processes will be considered in this chapter and other types of nonstationarities will be treated in the next chapters. We shall begin with a brief summary of important characteristics of specific unstable processes.