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Bag om Multiple Time Series Models

Reviews the main competing approaches to modeling multiple time series: simultaneous equations, ARIMA, error correction models, and vector autoregression. This book focuses on vector autoregression (VAR) models as a generalization of the other approaches mentioned. It also reviews arguments for and against using multi-equation time series models.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9781412906562
  • Indbinding:
  • Paperback
  • Sideantal:
  • 120
  • Udgivet:
  • 2. november 2006
  • Størrelse:
  • 139x214x7 mm.
  • Vægt:
  • 156 g.
  • 8-11 hverdage.
  • 25. november 2024

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Reviews the main competing approaches to modeling multiple time series: simultaneous equations, ARIMA, error correction models, and vector autoregression. This book focuses on vector autoregression (VAR) models as a generalization of the other approaches mentioned. It also reviews arguments for and against using multi-equation time series models.

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