Introduction to Multiple Time Series Analysis

Table of Contents

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   Book Overview
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   Chapter 1 Introduction
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   Chapter 2 Stable Vector Autoregressive Processes
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   Chapter 3 Estimation of Vector Autoregressive Processes
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   Chapter 4 VAR Order Selection and Checking the Model Adequacy
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   Chapter 5 VAR Processes with Parameter Constraints
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   Chapter 6 Vector Autoregressive Moving Average Processes
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   Chapter 7 Estimation of VARMA Models
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   Chapter 8 Specification and Checking the Adequacy of VARMA Models
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    Chapter 9 Fitting Finite Order VAR Models to Infinite Order Processes
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    Chapter 10 Systems of Dynamic Simultaneous Equations
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    Chapter 11 Nonstationary Systems with Integrated and Cointegrated Variables
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    Chapter 12 Periodic VAR Processes and Intervention Models
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    Chapter 13 State Space Models