Applied Econometric Time Series Third Edition Walter Enders, University of Alabama Copyright © 2010 John Wiley & Sons, Inc.

Chapter 5 MULTIEQUATION TIME-SERIES MODELS

1. INTERVENTION ANALYSIS Estimating the Effect of Metal Detectors on Skyjackings Estimating the Effect of the Libyan Bombing

2. TRANSFER FUNCTION MODELS The Cross-Covariances of a Second- Order Process Higher-Order Input Processes Identification and Estimation

3. ESTIMATING A TRANSFER FUNCTION

4. LIMITS TO STRUCTURAL MULTIVARIATE ESTIMATION Multivariate Macroeconometric Models: Some Historical Background

5. INTRODUCTION TO VAR ANALYSIS Stability and Stationarity Dynamics of a VAR Model

6. ESTIMATION AND IDENTIFICATION Forecasting Identification

7. THE IMPULSE RESPONSE FUNCTION Confidence Intervals and Impulse Responses Variance Decomposition

8. TESTING HYPOTHESES Granger Causality Granger Causality and Money Supply Changes Tests with Nonstationary Variables

9. EXAMPLE OF A SIMPLE VAR: TERRORISM AND TOURISM IN SPAIN Empirical Methodology Empirical Results

10. STRUCTURAL VARs

11. EXAMPLES OF STRUCTURAL DECOMPOSITIONS An Example Overidentified Systems Sims’s Structural VAR

12. THE BLANCHARD–QUAH DECOMPOSITION The Blanchard and Quah Results

13. DECOMPOSING REAL AND NOMINAL EXCHANGE RATES: AN EXAMPLE Limitations of the Technique

14. SUMMARY AND CONCLUSIONS