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


Bibliographic record and links to related information available from the Library of Congress catalog
Note: Electronic data is machine generated. May be incomplete or contain other coding.


Counter
Part I Theoretical Concepts
1   Univariate Analysis of Stationary Time Series .............  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 .......................... 14
Summary ................... ................................20
Exercises  .......................................... ..........  21
2   Multivariate Analysis of Stationary Time Series ........... 23
2.1 Overview ......................................     ... 23
2.2  Vector Autoregressive Models .............................  23
2.2.1 Specification, Assumptions, and Estimation. .......... 23
2.2.2  Diagnostic  Tests  ..................................  28
2.2.3 Causality Analysis ................................ 34
2.2.4  Forecasting ......................................  36
2.2.5 Impulse Response Functions ................. ...... 37
2.2.6 Forecast Error Variance Decomposition .............. 41
2.3 Structural Vector Autoregressive Models ................... 43
2.3.1  Specification  and  Assumptions ......................  43
2.3.2 Estimation ...................................... 44
2.3.3 Impulse Response Functions ..................... . 47
2.3.4  Forecast Error Variance Decomposition .............. 48
Summary ................................... ............... 49
Exercises ................................................    50
3   Non-stationary Time Series ......................... ..... 53
3.1 Trend- versus Difference-Stationary Series .................. 53
3.2  Unit Root Processes  .....................................  55
3.3 Long-Memory Processes .................................. 62
Summ  ary  ........... .......... ............................  70
Exercises ...................................... .......... . 71
4   Cointegration   ............................................ 73
4.1  Spurious Regression  .....................................  73
4.2  Concept of Cointegration and Error-Correction Models ....... 75
4.3 Systems of Cointegrated Variables ......................... 78
Summary  ...................................................  86
Exercises  ..................................................  86
Part II Unit Root Tests
5   Testing for the Order of Integration ....................... 91
5.1 Dickey-Fuller Test ..................................... . 91
5.2 Phillips-Perron Test ...................................... 94
5.3 Elliott-Rothenberg-Stock Test .............................. 98
5.4  Schmidt-Phillips Test  .................................. . 100
5.5 Kwiatkowski-Phillips-Schmidt-Shin Test ................... 103
Summary ....................................... ............104
Exercises  ........................................ ........   105
6   Further  Considerations  .................................... 107
6.1 Stable Autoregressive Processes with Structural Breaks . .... 107
6.2  Seasonal Unit Roots  ..................................... 112
Summary ................... .............................. 118
Exercises  ............................................... .  118
Part III Cointegration
7   Single-Equation Methods .................................. 121
7.1 Engle-Granger Two-Step Procedure ........................ 121
7.2 Phillips-Ouliaris Method ...... ...................... .... 123
Summary .......         .................. .................. 126
Exercises  ...................................... ............  127
s   Multiple-Equation Methods .............................. 129
8.1 The Vector Error-Correction Model ....................... 129
8.1.1 Specification and Assumptions ..................... 129
8.1.2 Determining the Cointegration Rank ... . ........... 130
8.1.3 Testing for Weak Exogenity ....................... 134
8.1.4  Testing Restrictions on/3 ........................... 136
8.2 VECM and Structural Shift ............................... 143
8.3 The Structural Vector Error-Correction Model .............. 145
Summary  .................................................  158
Exercises ................................................. 158
9   Appendix ............    .................................161
9.1 Time Series Data ...................................... ..161
9.2 Technicalities ......................................162
9.3 CRAN Packages Used .................................. 163
10 Abbreviations, Nomenclature, and Symbols. .............. 165



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