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New Introduction to Multiple Time Series Analysis

✍ Scribed by Helmut Lütkepohl

Publisher
Springer
Year
2005
Tongue
English
Leaves
765
Category
Library
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✦ Table of Contents

New Introduction
to Multiple
Time Series Analysis
ISBN 3540401725
Preface
Contents
1
Introduction
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
6
Vector Error Correction Models
7
Estimation of Vector Error Correction Models
8
Specification of VECMs
9
Structural VARs and VECMs
10
Systems of Dynamic Simultaneous Equations
11
Vector Autoregressive Moving Average
Processes
12
Estimation of VARMA Models
13
Specification and Checking the Adequacy of
VARMA Models
14
Cointegrated VARMA Processes
15
Fitting Finite Order VAR Models to Infinite
Order Processes
16
Multivariate ARCH and GARCH Models
17
Periodic VAR Processes and Intervention
Models
18
State Space Models
A
Vectors and Matrices
B
Multivariate Normal and Related Distributions
C
Stochastic Convergence and Asymptotic
Distributions
D
Evaluating Properties of Estimators and Test
Statistics by Simulation and Resampling
Techniques
References
Index of Notation
Author Index
Subject Index

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