Multiple Time Series Models

Multiple Time Series Models
Author :
Publisher : SAGE
Total Pages : 121
Release :
ISBN-10 : 9781412906562
ISBN-13 : 1412906563
Rating : 4/5 (62 Downloads)

Book Synopsis Multiple Time Series Models by : Patrick T. Brandt

Download or read book Multiple Time Series Models written by Patrick T. Brandt and published by SAGE. This book was released on 2007 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.


Multiple Time Series Models Related Books

Multiple Time Series Models
Language: en
Pages: 121
Authors: Patrick T. Brandt
Categories: Mathematics
Type: BOOK - Published: 2007 - Publisher: SAGE

DOWNLOAD EBOOK

Many analyses of time series data involve multiple, related variables. Modeling Multiple Time Series presents many specification choices and special challenges.
Introduction to Multiple Time Series Analysis
Language: en
Pages: 556
Authors: Helmut Lütkepohl
Categories: Business & Economics
Type: BOOK - Published: 2013-04-17 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

Forecasting: principles and practice
Language: en
Pages: 380
Authors: Rob J Hyndman
Categories: Business & Economics
Type: BOOK - Published: 2018-05-08 - Publisher: OTexts

DOWNLOAD EBOOK

Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic
Multivariate Time Series Analysis and Applications
Language: en
Pages: 536
Authors: William W. S. Wei
Categories: Mathematics
Type: BOOK - Published: 2019-03-18 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highl
Modeling Financial Time Series with S-PLUS
Language: en
Pages: 632
Authors: Eric Zivot
Categories: Business & Economics
Type: BOOK - Published: 2013-11-11 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS stat