Book 2005

New Introduction to Multiple Time Series Analysis

Authors:

ISBN: 978-3-540-40172-8 (Print) 978-3-540-27752-1 (Online)

Table of contents (18 chapters)

  1. Front Matter

    Pages I-XXI

  2. Introduction

    1. No Access

      Chapter

      Pages 1-7

      Introduction

  3. Finite Order Vector Autoregressive Processes

    1. Front Matter

      Pages 9-11

    2. No Access

      Chapter

      Pages 13-68

      Stable Vector Autoregressive Processes

    3. No Access

      Chapter

      Pages 69-133

      Estimation of Vector Autoregressive Processes

    4. No Access

      Chapter

      Pages 135-192

      VAR Order Selection and Checking the Model Adequacy

    5. No Access

      Chapter

      Pages 193-231

      VAR Processes with Parameter Constraints

  4. Cointegrated Processes

    1. Front Matter

      Pages 233-235

    2. No Access

      Chapter

      Pages 237-267

      Vector Error Correction Models

    3. No Access

      Chapter

      Pages 269-324

      Estimation of Vector Error Correction Models

    4. No Access

      Chapter

      Pages 325-352

      Specification of VECMs

  5. Structural and Conditional Models

    1. Front Matter

      Pages 353-355

    2. No Access

      Chapter

      Pages 357-386

      Structural VARs and VECMs

    3. No Access

      Chapter

      Pages 387-413

      Systems of Dynamic Simultaneous Equations

  6. Infinite Order Vector Autoregressive Processes

    1. Front Matter

      Pages 415-417

    2. No Access

      Chapter

      Pages 419-446

      Vector Autoregressive Moving Average Processes

    3. No Access

      Chapter

      Pages 447-492

      Estimation of VARMA Models

    4. No Access

      Chapter

      Pages 493-514

      Specification and Checking the Adequacy of VARMA Models

    5. No Access

      Chapter

      Pages 515-529

      Cointegrated VARMA Processes

    6. No Access

      Chapter

      Pages 531-553

      Fitting Finite Order VAR Models to Infinite Order Processes

  7. Time Series Topics

    1. Front Matter

      Pages 555-555

    2. No Access

      Chapter

      Pages 557-584

      Multivariate ARCH and GARCH Models

    3. No Access

      Chapter

      Pages 585-610

      Periodic VAR Processes and Intervention Models

    4. No Access

      Chapter

      Pages 611-642

      State Space Models

  8. Back Matter

    Pages 643-764