Table of contents for Analysis of integrated and cointegrated time series with R / Bernhard Pfaff.


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Part I Theoretical Concepts
1   Stationary Autoregressive-Moving Average (ARMA)
Processes .....................................    ..........  3
1.1  Characteristics of Time Series .............................  3
1.2 AR(p) Time Series Process ..............................   6
1.3 MA(q) Time Series Process ............................  . 10
1.4 ARMA(p, q) Time Series Process ......................... 13
Summary  ................... ..................................  16
Exercises  ........................................ ..... .. .  18
2   Nonstationary Time Series ............................... . 19
2.1 Trend- versus Difference-Stationary Series .................. 19
2.2 Unit Root Processes ................................... 21
2.3 Long Memory Processes ............................... 30
Summary ................  ............................... 37
Exercises  ..............................................   .  38
3   Cointegration ................ .............................. 39
3.1 Spurious Regression .................................... 39
3.2  Concept of Cointegration and Error-Correction Models ....... 41
3.3 Systems of Cointegrated Variables ......................... 44
Summary  ............... ....................................  50
Exercises  ................. .   .........................  .  51
Part II Unit Root Tests
4   Testing for the Order of Integration ....................... 55
4.1 Dickey-Fuller-Type Tests .............................. . 55
4.2  Phillips-Perron  Test  .....................................  59
4.3 ERS-Test ........................................... 62
4.4 Schmidt-Phillips (SP)-Test .............................. 64
4.5  KPSS-Test  ............................................  67
Summary .................................. ............ 70
Exercises ..................................... ............ 71
5   Further Considerations ........... .. .    ................ 73
5.1 Stable Autoregressive (AR)(1)-Processes with Structural
Breaks  .............................................   73
5.2  Seasonal Unit  Roots  .....................................  78
Summary ................................................... 84
Exercises ............ ..................................... 85
Part III Cointegration
6   Single  Equation  M ethods .................................  89
6.1 Engle-Granger Two-Step Procedure ...................... 89
6.2  Phillips-Ouliaris Method  ............................ . .   .  92
Summary ................................................... 95
Exercises  ..........................................      .  95
7   Multiple Equation Methods ............................. 97
7.1 The Vector Error Correction Model (VECM) ............... 97
7.1.1  Specification  and  Assumptions ......................  97
7.1.2 Determining the Cointegration Rank................. 98
7.1.3 Testing for Weak Exogenity ........................ 102
7.1.4 Testing Restrictions on 3. . ...................... .. 105
7.2  VECMs and  Structural Shift .............................. 111
Summary ...................    .......................... 113
Exercises  .................. .  ...  .  ........................ . 114



Library of Congress subject headings for this publication: Time-series analysis Computer programs, R (Computer program language)