New introduction to multiple time series analysis /
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| Format: | Book |
| Language: | English |
| Published: |
Berlin :
Springer,
2005
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| Subjects: |
Table of Contents:
- 1. Introduction
- Pte.1. 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 constrinst
- Pte.2. Cointegrated processes: 6. Vector error correction models
- 7. Estimation of vector error correction models
- 8. Specification of VECMs
- Pte.3. Structural and conditional models: 9. Structural VARs and VECMs
- 10. Systems of dynamic simultaneous equations
- Pte.4. Infinite order vector autoregressive processes: 11. Vector autoregressive moving average processes
- 12. Estimation of VARMA models
- 13. Specification and checking the adequacy of VARMA
- 14. Cointegrated VARMA processes
- 15. Fitting finite order VAR models to infinite order processes
- Pte.5. Time series topiccs: 16. Multivariate ARCH and GARCH models
- 17. Periodic VAR processes and intervention models
- 18. State space models
- Appendix: 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.