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

2. Chapter 5 MULTIEQUATION TIME-SERIES MODELS

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

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

9. 3. ESTIMATING A TRANSFER FUNCTION

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

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

15. 6. ESTIMATION AND IDENTIFICATION
Forecasting
Identification

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

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

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

22. 10. STRUCTURAL VARs

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

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

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

28. 14. SUMMARY AND CONCLUSIONS