Contents
Table of Contents
Book Order Form
Table of Contents
Part I: Prologue
1. Introduction to Volume II
1.1 The PcGive system
1.2 Multiple-equation dynamic modelling
1.3 The special features
1.4 Documentation conventions
1.5 Using Volume II
1.6 An overview of PcGive menus
1.7 Citation
1.8 World Wide Web
1.9 Some data sets
Part II: Tutorials on Multiple-Equation Modelling
2. Tutorial Data
2.1 Introduction
2.2 The tutorial data set
3. Tutorial on Unrestricted System Estimation and Evaluation
3.1 Introduction to dynamic systems
3.2 Formulating a system
3.3 Unrestricted variables
3.4 Special variables
3.5 Estimating an unrestricted system
3.6 Graphic analysis and multivariate testing
3.7 System reduction
3.8 System reduction usisng Autometrics
3.9 Dynamic analysis
3.10 Recursive estimation
3.11 Batch editor
3.12 Forecasting
3.13 Equilibrium-correction representation
4. Tutorial on Cointegration Analysis
4.1 Introduction to cointegration analysis
4.2 Intercepts and linear deterministic trends I
4.3 Unrestricted and restricted variables
4.4 Estimating the vector autoregression
4.5 Cointegration analysis
4.6 Intercepts and linear deterministic trends II
4.7 Recursive eigenvalues
4.8 Cointegration graphics
5. Tutorial on Cointegrated VARs
5.1 Introduction
5.2 Imposing the rank of the cointegration space .
5.3 Intercepts and linear deterministic trends III
5.4 Cointegration restrictions
5.5 Determining unique cointegration relations
5.6 Moving-average impact matrix
5.7 Cointegration graphics
5.8 Addendum: A and H matrices
6. Tutorial on Reduction to I(0)
6.1 Introduction
6.2 A parsimonious VAR
6.3 A restricted system
6.4 Progress
7. Tutorial on Simultaneous Equations Models
7.1 Introduction to dynamic models .
7.2 The cointegrated VAR in I(0) space
7.3 Dynamic analysis and dynamic forecasting
7.4 Modelling the parsimonious VAR
7.5 Maximization control
7.6 How well did we do?
8. Tutorial on Advanced VAR Modelling
8.1 Introduction
8.2 Loading the Lükepohl data
8.3 Estimating a VAR
8.4 Dynamic analysis
8.5 Forecasting
8.6 Dynamic simulation and impulse response analysis
8.6.1 Impulse response analysis
8.7 Sequential reduction and information criteria
8.8 Diagnostic checking
8.9 Parameter constancy
8.10 Non-linear parameter constraints
Part III: The Econometrics of Multiple Equation Modelling
9. An Introduction to the Dynamic Econometric Systems
9.1 Summary of Part III
9.2 Introduction
9.3 Economic theoretical formulation
9.4 The statistical system
9.5 System dynamics
9.6 System evaluation
9.7 The impact of I(1) on econometric modelling
9.8 The econometric model and its identification
9.9 Simultaneous equations modelling
9.10 General to specific modelling of systems
10. Some Matrix Algebra
11. Econometric Analysis of the System
11.1 System estimation
11.2 Maximum likelihood estimation
11.3 Recursive estimation
11.4 Unrestricted variables
11.5 Forecasting
11.6 Dynamic analysis
11.7 Test types
11.8 Specification tests
11.9 Mis-specification tests
12. Cointegration Analysis
12.1 Introduction
12.2 Equilibrium correction models
12.3 Estimating the cointegrating rank
12.4 Deterministic terms and restricted variables
12.5 The I(2) analysis .
12.6 Numerically stable estimation
12.7 Recursive estimation .
12.8 Testing restrictions on alpha and beta
12.9 Estimation under general restrictions
12.10 Identification
13. Econometric Analysis of the Simultaneous Equations Model
13.1 The econometric model
13.2 Identification
13.3 The estimator generating equation
13.4 Maximum likelihood estimation
13.4.1 Linear parameters
13.4.2 Non-linear parameters
13.5 Estimators in PcGive
13.6 Recursive estimation
13.7 Computing FIML
13.8 Restricted reduced form
13.9 Unrestricted variables
13.10 Derived statistics
13.11 Progress
14. Numerical Optimization and Numerical Accuracy
14.1 Introduction to numerical optimization
14.2 Maximizing likelihood functions
14.3 Practical optimization
14.4 Numerical accuracy
Part IV: The Statistical Output of Multiple Equation Models
15. Unrestricted System
15.1 Introduction
15.2 System formulation
15.3 System estimation
15.4 System output
15.5 Graphic analysis
15.6 Recursive graphics
15.7 Dynamic analysis
15.8 System testing
15.9 Progress
16. Cointegrated VAR
16.0.1 Cointegration restrictions
16.1 Cointegrated VAR output
16.2 Graphic analysis
16.3 Recursive graphics
17. Simultaneous Euations Model
17.1 Model estimation
17.2 Model output
17.3 Graphic analysis
17.4 Recursive graphics
17.5 Dynamic analysis, forecasting and simulation
17.6 Model testing
Part V Appendices
A1 Algebra and Batch for Multiple Equation Modelling
A1.1 General restrictions
A1.1.1 Restrictions for testing
A1.1.2 Restrictions for estimation
A1.2 PcGive batch language
A2 Numerical Changes From Previous Versions
References
Author Index
Subject Index
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