New Introduction to Multiple Time Series Analysis

- Introduction

- Finite Order Vector Autoregressive Processes: Stable Vector Autoregressive Processes

- Estimation of Vector Autoregressive Processes

- VAR Order Selection and Checking the Model Adequacy

- VAR Processes with Parameter Constraints. Cointegrated Processes: Vector Error Correction Models

- Estimation of Vector Error Correction Models

- Specification of VECMs. Structural and Conditional Models: Structural VARs and VECMs

- Systems of Dynamic Simultaneous Equations. Infinite Order Vector Autoregressive Processes: Vector Autoregressive Moving Average Processes

- Estimation of VARMA Models

- Specification and Checking the Adequacy of VARMA

- Cointegrated VARMA Processes

- Fitting Finite Order VAR Models to Infinite Order Processes. Time Series Topics: Multivariate ARCH and GARCH Models

- Periodic VAR Processes and Intervention Models

- State Space Models. Appendices: Vectors and Matrices

- Multivariate Normal and Related Distributions

- Stochastic Convergence and Asymptotic Distributions

- Evaluating Properties of Estimators and Test Statistics by Simulation and Resampling Techniques.

From the reviews:

"The monograph is a substantial revision of the authora (TM)s previous successful book, Introduction to multiple time series analysis a ] . As the previous book, the present one is meant to be an introductory exposition a ] and it has been prepared with economic and business students in mind a ] ." (TomAA Cipra, Zentralblatt MATH, Vol. 1072, 2005)

"The book is oriented towards econometric applications; the text was prepared with economics and business students in mind, and examples and exercises are chosen accordingly. The text presents a collection of many of the topics currently treated in the literature. a ] this new version of a previous book by the author represents a timely addition to the time series and econometric literature. a ] The selection of topics responds to current trends in the literature." (RaAl Pedro Mentz, Mathematical Reviews, Issue 2006 f)

"Its primary aim is to provide graduate students and researchers in macroeconomics with an up-to-date treatise on the theory that underlies modern time-series econometrics a ] . On the whole, the book is well planned and well written a ] I think that it will be used more as a reference volume for scholars and researchers a ] . I anticipate that many teachers will ask their students to consult this text regularly a ] ." (Heather M. Anderson, Economic Record, March, 2007)