Multivariate Tests for Time Series Models

✍ Scribed by Jeff B. Cromwell, Michael J. Hannan, Walter C. Labys, Michel Terraza

Publisher: Sage
Year: 1994
Tongue: English
Leaves: 107
Series: Quantitative Applications in the Social Sciences (Volume 100)
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

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.

✦ Table of Contents

Cover
Front Matter
Copyright
Table of Contents
Series Editor's Introduction
1. Introduction
2. Testing for Joint Stationarity, Normality, and Independence
3. Testing for Cointegration
4. Testing for Causality
5. Multivariate Linear Model Specification
6. Multivariate Nonlinear Models
7. Model Order and Forecast Accuracy
8. Computational Methods for Performing the Tests
Appendix: Statistical Tables
References
About the Authors
Back Cover

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