Table of contents for Multiple time series models

Table of contents for Multiple time series models / Patrick T. Brandt, John T. Williams.

Bibliographic record and links to related information available from the Library of Congress catalog.

Note: Contents data are machine generated based on pre-publication provided by the publisher. Contents may have variations from the printed book or be incomplete or contain other coding.

CONTENTS
List of Figures and Tables
Series Editor?s Introduction
Preface
1. Introduction to Multiple Time Series Models
1.1 Simultaneous Equation Approach
1.2 ARIMA Approach
1.3 Error Correction/LSE Approach
1.4 Vector Autoregression Approach
1.5 Comparison and Summary
2. Basic Vector Autoregression Models
2.1 Dynamic Structural Equation Models
2.2 Reduced Form Vector Autoregressions
2.3 Relationship of Dynamic Structural Equation Model to a Vector Autoregression Model
2.4 Working With This Model
2.5 Speci?cation and Analysis of VAR Models
2.5.1 Estimation of VAR
2.5.2 Lag Length Speci?cation
2.5.3 Testing Serial Correlation in the Residuals 
2.5.4 Granger Causality
2.5.5 Interpreting Granger Causality
2.5.6 Testing Other Restrictions in a VAR Model
2.5.7 Impulse Response/Moving Average Response Analysis
2.5.8 Error Bands for Impulse Responses
2.5.9 Innovation Accounting or Decomposition of Forecast Error Variance
2.6 Other Speci?cation Issues
2.7 Unit Roots and Error Correction in VARs
2.7.1 Error Correction Representation of Unit Root Data
2.7.2 Error Correction as a VAR Model
2.7.3 VAR Versus VECM (ECM) 
2.8 Criticisms of VAR
3. Examples of VAR Analyses
3.1 Public Mood and Macropartisanship
3.1.1 Testing for Unit Roots
3.1.2 Specifying the Lag Length
3.1.3 Estimation of the VAR
3.1.4 Granger Causality Testing
3.1.5 Decomposition of the Forecast Error Variance
3.1.6 Impulse Response Analysis
3.2 Effective Corporate Tax Rates
3.2.1 Data
3.2.2Testing for Unit Roots
3.2.3 Specifying the Lag Length
3.2.4 Granger Causality Testing
3.2.5 Impulse Response Analysis
3.2.6 Decomposition of the Forecast Error Variance
3.2.7 A Further Robustness Check
3.3 Conclusion
Appendix: Software for Multiple Time Series Models
Notes
References
Index
About the Authors

Library of Congress Subject Headings for this publication:

Time-series analysis -- Mathematical models.