Patrick T. Brandt and John T. Williams. 2006. Sage Publications (click here to see the same on the Sage site or to buy) Series: Quantitative Applications in the Social Sciences 

Many analyses of time series data involve multiple, related variables. Modeling Multiple Time Series presents many specification choices and special challenges. This book reviews the main competing approaches to modeling multiple time series: simultaneous equations, ARIMA, error correction models, and vector autoregression. The text focuses on vector autoregression (VAR) models as a generalization of the other approaches mentioned. Specification, estimation, and inference using these models is discussed. The authors also review arguments for and against using multiequation time series models. Two complete, worked examples show how VAR models can be employed. An appendix discusses software that can be used for multiple time series models and software code for replicating the examples is available.
Key Features:The following RATS code can be used to replicate the two examples in Chapter 3 of the book
Last Update, August 31, 2006