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| Preface | |
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| Introduction and Overview | |
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| Some Initial Concepts | |
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| Forecasting | |
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| Outline of the Book | |
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| Short- and Long-run Models | |
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| Long-run Models | |
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| Stationary and Non-stationary Time Series | |
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| Spurious Regressions | |
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| Cointegration | |
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| Short-run Models | |
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| Conclusion | |
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| Testing for Unit Roots | |
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| The Dickey-Fuller Test | |
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| Augmented Dickey-Fuller Test | |
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| Power and Level of Unit Root Tests | |
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| Structural Breaks and Unit Root Tests | |
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| Seasonal Unit Roots | |
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| Structural Breaks and Seasonal Unit Root Tests | |
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| Periodic Integration and Unit Root-testing | |
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| Conclusion on Unit Root Tests | |
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| Cointegration in Single Equations | |
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| The Engle-Granger (EG) Approach | |
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| Testing for Cointegration with a Structural Break | |
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| Alternative Approaches | |
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| Problems with the Single Equation Approach | |
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| Estimating the Short-run Dynamic Model | |
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| Seasonal Cointegration | |
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| Periodic Cointegration | |
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| Asymmetric Tests for Cointegration | |
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| Conclusion | |
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| Cointegration in Multivariate Systems | |
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| The Johansen Approach | |
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| Testing the Order of Integration of the Variables | |
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| Formulation of the Dynamic Model | |
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| Testing for Reduced Rank | |
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| Deterministic Components in the Multivariate Model | |
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| Testing of Weak Exogeneity and VECM with Exogenous I (l) Variables | |
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| Testing for Linear Hypotheses on Cointegration Relations | |
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| Testing for Unique Cointegration Vectors | |
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| Joint Tests of Restrictions on� and� Seasonal Unit Roots | |
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| Seasonal Cointegration | |
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| Conclusions | |
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| Programming in SHAZAM. | |
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| Modelling the Short-run Multivariate System | |
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| Introduction | |
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| Estimating the Long-run Cointegration Relationships | |
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| Parsimonious VECM | |
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| Conditional PVECM | |
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| Structural Modelling | |
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| Structural Macroeconomic Modelling | |
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| Panel Data Models and Cointegration | |
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| Introduction | |
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| Panel Data and Modelling Techniques | |
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| Panel Unit Root Tests | |
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| Testing for Cointegration in Panels | |
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| Estimating Panel Cointegration Models | |
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| Conclusion on Testing for Unit Roots and Cointegration in Panel Data | |
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| Modelling and Forecasting Financial Times Series | |
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| Introduction | |
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| ARCH and GARCH | |
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| Multivariate GARCH | |
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| Estimation and Testing | |
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| An Empirical Application of ARCH and GARCH Models | |
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| ARCH-M | |
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| Asymmetric GARCH Models | |
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| Integrated and Fractionally Integrated GARCH Models | |
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| Conditional Heteroscedasticity, Unit Roots and Cointegration | |
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| Forecasting with GARCH Models | |
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| Further Methods for Forecast Evaluation | |
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| Conclusions on Modelling and Forecasting Financial Time Series | |
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| Appendix: Cointegration Analysis Using the Johansen Technique: A Practitioner's Guide to PcGive 10.1. | |
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| Statistical Appendix | |
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| References | |
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| Index | |