| Introduction | p. 1 |
| Objectives of Analyzing Multiple Time Series | p. 1 |
| Some Basics | p. 2 |
| Vector Autoregressive Processes | p. 3 |
| Outline of the Following Chapters | p. 5 |
| Stable Vector Autoregressive Processes | p. 9 |
| Basic Assumptions and Properties of VAR Processes | p. 9 |
| Forecasting | p. 27 |
| Structural Analysis with VAR Models | p. 35 |
| Estimation of Vector Autoregressive Processes | p. 62 |
| Multivariate Least Squares Estimation | p. 62 |
| Least Squares Estimation with Mean-Adjusted Data and Yule-Walker Estimation | p. 75 |
| Maximum Likelihood Estimation | p. 80 |
| Forecasting with Estimated Processes | p. 85 |
| Testing for Granger-Causality and Instantaneous Causality | p. 93 |
| The Asymptotic Distributions of Impulse Responses and Forecast Error Variance Decompositions | p. 97 |
| VAR Order Selection and Checking the Model Adequacy | p. 118 |
| A Sequence of Tests for Determining the VAR Order | p. 119 |
| Criteria for VAR Order Selection | p. 128 |
| Checking the Whiteness of the Residuals | p. 138 |
| Testing for Nonnormality | p. 152 |
| Tests for Structural Change | p. 159 |
| VAR Processes with Parameter Constraints | p. 167 |
| Linear Constraints | p. 168 |
| VAR Processes with Nonlinear Parameter Restrictions | p. 192 |
| Bayesian Estimation | p. 206 |
| Vector Autoregressive Moving Average Processes | p. 217 |
| Finite Order Moving Average Processes | p. 217 |
| VARMA Processes | p. 220 |
| The Autocovariances and Autocorrelations of a VARMA(p, q) Process | p. 226 |
| Forecasting VARMA Processes | p. 228 |
| Transforming and Aggregating VARMA Processes | p. 230 |
| Interpretation of VARMA Models | p. 236 |
| Estimation of VARMA Models | p. 241 |
| The Identification Problem | p. 241 |
| The Gaussian Likelihood Function | p. 252 |
| Computation of the ML Estimates | p. 259 |
| Asymptotic Properties of the ML Estimators | p. 271 |
| Forecasting Estimated VARMA Processes | p. 278 |
| Estimated Impulse Responses | p. 281 |
| Specification and Checking the Adequacy of VARMA Models | p. 284 |
| Specification of the Final Equations Form | p. 285 |
| Specification of Echelon Forms | p. 289 |
| Remarks on other Specification Strategies for VARMA Models | p. 297 |
| Model Checking | p. 298 |
| Critique of VARMA Model Fitting | p. 302 |
| Fitting Finite Order VAR Models to Infinite Order Processes | p. 305 |
| Multivariate Least Squares Estimation | p. 305 |
| Forecasting | p. 309 |
| Impulse Response Analysis and Forecast Error Variance Decompositions | p. 313 |
| Systems of Dynamic Simultaneous Equations | p. 323 |
| Systems with Exogenous Variables | p. 324 |
| Estimation | p. 331 |
| Remarks on Model Specification and Model Checking | p. 333 |
| Forecasting | p. 334 |
| Multiplier Analysis | p. 338 |
| Optimal Control | p. 339 |
| Concluding Remarks on Dynamic SEMs | p. 342 |
| Nonstationary Systems with Integrated and Cointegrated Variables | p. 346 |
| Estimation of Integrated and Cointegrated VAR(p) Processes | p. 355 |
| Forecasting and Structural Analysis | p. 375 |
| Model Selection and Model Checking | p. 382 |
| Periodic VAR Processes and Intervention Models | p. 391 |
| The VAR(p) Model with Time Varying Coefficients | p. 392 |
| Periodic Processes | p. 396 |
| Intervention Models | p. 408 |
| State Space Models | p. 415 |
| State Space Models | p. 416 |
| The Kalman Filter | p. 428 |
| Maximum Likelihood Estimation of State Space Models | p. 434 |
| A Real Data Example | p. 439 |
| Appendix A. Vectors and Matrices | p. 449 |
| Appendix B. Multivariate Normal and Related Distributions | p. 480 |
| Appendix C. Convergence of Sequences of Random Variables and Asymptotic Distributions | p. 484 |
| Appendix D. Evaluating Properties of Estimators and Test Statistics by Simulation and Resampling Techniques | p. 495 |
| Appendix E. Data Used for Examples and Exercises | p. 498 |
| References | p. 509 |
| List of Propositions and Definitions | p. 518 |
| Index of Notation | p. 521 |
| Author Index | p. 527 |
| Subject Index | p. 531 |
| Table of Contents provided by Blackwell. All Rights Reserved. |
