Empirical Vector Autoregressive Modeling

1 Introduction.- 1.1 Integrating results.- 1.2 Goal of the study.- 1.3 Data and measurement model.- 1.4 Baseline model and methodology.- 1.5 Outline of the study.- 1.6 What is new?.- 2 The Unrestricted VAR and its components.- 2.1 Introduction.- 2.2 The model.- 2.3 Univariate processes and unit roots.- 2.4 Integrated processes.- 2.5 Alternative models for nonstationarity, long memory and persistence.- Appendix A2.1 MA representation integrated process.- Appendix A2.2 Univariate testing for unit root nonstationarity.- 3 Data Analysis by Vector Autoregression.- 3.1 Introduction.- 3.2 Data-oriented measures of influence.- 3.3 Diagnostic checking.- Appendix A3.1 Influence measures for the normal linear model.- Appendix A3.2 Influence measures for the multivariate general linear model.- Appendix A3.3 Influence measures in principal component analysis.- 4 Seasonality.- 4.1 Introduction.- 4.2 Application of the idea of unobserved components.- 4.3 Application of linear filters to estimate unobserved components.- 4.4 Data analysis of the seasonal component.- 4.5 Application of the Census X-11 filter in a VAR.- Appendix 4.1 Trigonometric seasonal processes in regression.- Appendix 4.2 Backforecasts and deterministic changes in mean.- 5 Outliers.- 5.1 Introduction.- 5.2 The outlier model.- 5.3 Some effects of outliers on VAR estimates.- 5.4 Derivation of the LM-statistics.- 5.5 An artificial example.- 5.6 Application to macroeconomic series.- 5.7 Two simple ways to study the influence of outliers.- Appendix 5.1 Some proofs concerning outlier test statistics.- Appendix 5.2 Subsample analysis outlier influence.- Appendix 5.3 Robust estimation by extraction of additive outliers.- 6 Restrictions on the VAR.- 6.1 Introduction.- 6.2 Cointegration, the number of unit roots, and common trends.- 6.3 Straightforward transformation formulae.- 6.4 Trend stationary processes and quadratic trends.- 6.5 Estimating pushing trends and pulling equilibria.- 6.6 Multivariate tests for unit roots.- Appendix 6.1 Computation and distribution multivariate unit root test statistics.- 7 Applied VAR Analysis for Aggregate Investment.- 7.1 Introduction.- 7.2 The variable of interest and some of its supposed relationships.- 7.3 Measurement model.- 7.4 Univariate analysis.- 7.5 Multivariate analysis.- Appendix 7.1 Data sources and construction.- Appendix 7.2 Results of final VECM model.- Appendix 7.3 Open economy stochastic dynamic general equilibrium models.- Summary.- References.- Name index.