ISBN 13 : 978-3-540-26239-8

Sommaire : 1 Introduction

Part 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

Part II Cointegrated Processes

6 Vector Error Correction Models
7 Estimation of Vector Error Correction Models
8 Specification of VECMs

Part III Structural and Conditional Models

9 Structural VARs and VECMs
10 Systems of Dynamic Simultaneous Equations

Part IV Infinite Order Vector Autoregressive Processes

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

Part V Time Series Topics

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
References
Index of Notation
Author Index
Subject Index

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Etat : Présent

Propriétaire : Bibliothèque