Introduction to Multiple Time Series Analysis

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.