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New Introduction to Multiple Time Series Analysis

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Cover of 'New 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 Error Correction Models
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    Chapter 7 Estimation of Vector Error Correction Models
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    Chapter 8 Specification of VECMs
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    Chapter 9 Structural VARs and VECMs
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    Chapter 10 Systems of Dynamic Simultaneous Equations
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    Chapter 11 Vector Autoregressive Moving Average Processes
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    Chapter 12 Estimation of VARMA Models
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    Chapter 13 Specification and Checking the Adequacy of VARMA Models
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    Chapter 14 Cointegrated VARMA Processes
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    Chapter 15 Fitting Finite Order VAR Models to Infinite Order Processes
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    Chapter 16 Multivariate ARCH and GARCH Models
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    Chapter 17 Periodic VAR Processes and Intervention Models
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    Chapter 18 State Space Models
Attention for Chapter 8: Specification of VECMs
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