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Brandt, Patrick T./ Williams, John T. 作者

Sage Pubns

译者

2006-11 出版日期

120 页数

$ 21.41 价格

Pap

丛书系列

9781412906562 图书编码

Multiple Time Series Models 在线电子书图书标签: 时间序列统计学数据分析

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Multiple Time Series Models 在线电子书 epub 下载 mobi 下载 pdf 下载 txt 下载 2024

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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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