Incluye bibliografía.

1. Introduction -- Pte.1. Finite order vector autoregressive processes: 2. Stable vector autoregressive processes -- 3. Estimation of vector autoregressive processes -- 4. VAR order selection and checking the model adequacy -- 5. VAR processes with parameter constrinst -- Pte.2. Cointegrated processes: 6. Vector error correction models -- 7. Estimation of vector error correction models -- 8. Specification of VECMs -- Pte.3. Structural and conditional models: 9. Structural VARs and VECMs -- 10. Systems of dynamic simultaneous equations -- Pte.4. Infinite order vector autoregressive processes: 11. Vector autoregressive moving average processes -- 12. Estimation of VARMA models -- 13. Specification and checking the adequacy of VARMA -- 14. Cointegrated VARMA processes -- 15. Fitting finite order VAR models to infinite order processes -- Pte.5. Time series topiccs: 16. Multivariate ARCH and GARCH models -- 17. Periodic VAR processes and intervention models -- 18. State space models -- Appendix: A. Vectors and matrices -- B. Multivariate normal and related distributions -- C. Stochastic convergence and asymptotic distributions -- D. Evaluating properties of estimators and test statistics by simulation and resampling techniques.