Multiple Time Series Models

Multiple Time Series Models pdf epub mobi txt 电子书 下载 2025

出版者:Sage Pubns
作者:Brandt, Patrick T./ Williams, John T.
出品人:
页数:120
译者:
出版时间:2006-11
价格:$ 21.41
装帧:Pap
isbn号码:9781412906562
丛书系列:
图书标签:
  • 时间序列 
  • 统计学 
  • 数据分析 
  •  
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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 multi-equation 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: Offers a detailed comparison of different time series methods and approaches. Includes a self-contained introduction to vector autoregression modeling. Situates multiple time series modeling as a natural extension of commonly taught statistical models.

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