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Könyv Multiple Time Series Models Patrick T. Brandt

Multiple Time Series Models

Szerző: Patrick T. Brandt, John Taylor Williams
Nyelv: Angol
Kötés: Puha kötésű
Kiadó: SAGE Publications Inc
Elérhetőség: Beszállítói készleten
Küldés 14-20 napon belül
9 554 Ft
Many analyses of time series data involve multiple, related variables. "Modeling Multiple Time Seri...

Információk a könyvről

Szerző
Patrick T. Brandt, John Taylor Williams
Nyelv
Angol
Kötés
Könyv - Puha kötésű
Kiadva
2006
oldal
120
EAN
9781412906562
ISBN
1412906563
Enbook ID
04784670
Kiadó
SAGE Publications Inc
Súly
156
Méretek
139 x 214 x 7

Teljes leírás

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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