Analysis of integrated and cointegrated time series with R

Preface to the Second Edition

Preface

List of Tables

List of Figures

List of R Code

Part I. Theoretical Concepts

1. Univariate Analysis of Stationary Time Series

1.1. Characteristics of Time Series

1.2. AR(p) Time Series Process

1.3. MA(q) Time Series Process

1.4. ARMA(p, q) Time Series Process

Summary

Exercises

2. Multivariate Analysis of Stationary Time Series

2.1. Overview

2.2. Vector Autoregressive Models

2.2.1. Specification, Assumptions, and Estimation

2.2.2. Diagnostic Tests

2.2.3. Causality Analysis

2.2.4. Forecasting

2.2.5. Impulse Response Functions

2.2.6. Forecast Error Variance Decomposition

2.3. Structural Vector Autoregressive Models

2.3.1. Specification and Assumptions

2.3.2. Estimation

2.3.3. Impulse Response Functions

2.3.4. Forecast Error Variance Decomposition

Summary

Exercises

3. Non-stationary Time Series

3.1. Trend- versus Difference-Stationary Series

3.2. Unit Root Processes

3.3. Long-Memory Processes

Summary

Exercises

4. Cointegration

4.1. Spurious Regression

4.2. Concept of Cointegration and Error-Correction Models

4.3. Systems of Cointegrated Variables

Summary

Exercises

Part II. Unit Root Tests

5. Testing for the Order of Integration

5.1. Dickey-Fuller Test

5.2. Phillips-Perron Test

5.3. Elliott-Rothenberg-Stock Test

5.4. Schmidt-Phillips Test

5.5. Kwiatkowski-Phillips-Schmidt-Shin Test

Summary

Exercises

6. Further Considerations

6.1. Stable Autoregressive Processes with Structural Breaks

6.2. Seasonal Unit Roots

Summary

Exercises

Part III. Cointegration

7. Single-Equation Methods

7.1. Engle-Granger Two-Step Procedure

7.2. Phillips-Ouliaris Method

Summary

Exercises

8. Multiple-Equation Methods

8.1. The Vector Error-Correction Model

8.1.1. Specification and Assumptions

8.1.2. Determining the Cointegration Rank

8.1.3. Testing for Weak Exogenity

8.1.4. Testing Restrictions on [beta]

8.2. VECM and Structural Shift

8.3. The Structural Vector Error-Correction Model

Summary

Exercises

9. Appendix

9.1. Time Series Data

9.2. Technicalities

9.3. CRAN Packages Used

10. Abbreviations, Nomenclature, and Symbols

References

Name Index

Function Index

Subject Index