Introduction to Multiple Time Series Analysis

1. Introduction -- I. Finite Order Vector Autoregressive Processes -- 2. Stable Vector Autoregressive Processes -- 3. Estimation of Vector Autoregressive Processes -- 4. VAR Order Selection and Checking the Model Adequacy -- 5. VAR Processes with Parameter Constraints -- II. Infinite Order Vector Autoregressive Processes -- 6. Vector Autoregressive Moving Average Processes -- 7. Estimation of VARMA Models -- 8. Specification and Checking the Adequacy of VARMA Models -- 9. Fitting Finite Order VAR Models to Infinite Order Processes -- III. Systems with Exogenous Variables and Nonstationary Processes -- 10. Systems of Dynamic Simultaneous Equations -- 11. Nonstationary Systems with Integrated and Cointegrated Variables -- 12. Periodic VAR Processes and Intervention Models -- 13. State Space Models -- Appendices -- Appendix A. Vectors and Matrices -- Appendix B. Multivariate Normal and Related Distributions -- Appendix C. Convergence of Sequences of Random Variables and Asymptotic Distributions -- Appendix D. Evaluating Properties of Estimators and Test Statistics by Simulation and Resampling Techniques -- Appendix E. Data Used for Examples and Exercises -- References -- List of Propositions and Definitions -- Index of Notation -- Author Index.