Multivariate Tests for Time Series Models

Walter C Labys author Jeffrey B Cromwell author Michel Terraza author Michael J Hannan author

Format:Paperback

Publisher:SAGE Publications Inc

Published:16th Aug '94

Currently unavailable, and unfortunately no date known when it will be back

Multivariate Tests for Time Series Models cover

Which time series test should a researcher chose to best describe the interactions among a set of time series variables? Aimed at providing social scientists with practical guidelines for identifying the appropriate multivariate time series model to use, this book explores the nature and application of these increasingly complex tests. Other topics it covers are joint stationarity, testing for cointegration, testing for Granger causality, and testing for model order, and forecast accuracy. Related models explained include transfer function, vector autoregression, error correction models, and others. Readers with a working knowledge of time series regression will find this helpful book accessible.


ISBN: 9780803954403

Dimensions: unknown

Weight: 140g

104 pages