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
Dynamic analysis
3.9 Recursive estimation
3.10 Batch
editor
3.11 Forecasting
3.12 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 Lüaut;tkepohl 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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