Introduction to Multiple Time Series Analysis

Inhaltsverzeichnis

• 1. Introduction.
• I. Finite Order Vector Autoregressive Processes.
• 2. Stable Vector Autoregressive Processes.
• 3. Estimation of Vector Autoregressive Processes.
• 4. VAR Order Selection and Checking the Model Adequacy.
• 5. VAR Processes with Parameter Constraints.
• II. Infinite Order Vector Autoregressive Processes.
• 6. Vector Autoregressive Moving Average Processes.
• 7. Estimation of VARMA Models.
• 8. Specification and Checking the Adequacy of VARMA Models.
• 9. Fitting Finite Order VAR Models to Infinite Order Processes.
• III. Systems with Exogenous Variables and Nonstationary Processes.
• 10. Systems of Dynamic Simultaneous Equations.
• 11. Nonstationary Systems with Integrated and Cointegrated Variables.
• 12. Periodic VAR Processes and Intervention Models.
• 13. State Space Models.
• Appendices.
• Appendix A. Vectors and Matrices.
• Appendix B. Multivariate Normal and Related Distributions.
• Appendix C. Convergence of Sequences of Random Variables and Asymptotic Distributions.
• Appendix D. Evaluating Properties of Estimators and Test Statistics by Simulation and Resampling Techniques.
• Appendix E. Data Used for Examples and Exercises.
• References.
• List of Propositions and Definitions.
• Index of Notation.
• Author Index.