Multivariate Tests for Time Series Models
Book Details
Format
Paperback / Softback
Book Series
Quantitative Applications in the Social Sciences
ISBN-10
0803954409
ISBN-13
9780803954403
Publisher
SAGE Publications Inc
Imprint
SAGE Publications Inc
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Aug 16th, 1994
Print length
104 Pages
Weight
140 grams
Product Classification:
Communication studiesSocial theorySocial research & statisticsPsychology
Ksh 6,650.00
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Which time series test should researchers choose to best describe the interactions among a set of time series variables? Providing guidelines for identifying the appropriate multivariate time series model to use, this book explores the nature and application of these increasingly complex tests. In addition, it covers such topics as: joint stationarity; testing for cointegration; testing for causality; and model order and forecast accuracy. Related models explained include transfer function, vector autoregression and error correction models.
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.
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