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Univariate Tests for Time Series Models

Univariate Tests for Time Series Models
  • Author: Jeff B. Cromwell
  • Publisher: SAGE
  • ISBN: 080394991X
  • Page: 96
  • View: 808

Taking a sequential approach to time-series model building, this easy-to-use and widely applicable book explores how to test for stationarity, normality, independence, linearity, model order, and properties of the residual process.

Taking a sequential approach to time-series model building, this easy-to-use and widely applicable book explores how to test for stationarity, normality, independence, linearity, model order, and properties of the residual process. The authors clearly define each testing procedure and offer examples to illustrate each concept. They also offer sound advice on how to perform the tests using different software packages.


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Univariate Tests for Time Series Models
Language: en
Pages: 96
Authors: Jeff B. Cromwell, Walter C. Labys, Michel Terraza
Categories: Reference
Type: BOOK - Published: 1994 - Publisher: SAGE

Taking a sequential approach to time-series model building, this easy-to-use and widely applicable book explores how to test for stationarity, normality, independence, linearity, model order, and properties of the residual process. The authors clearly define each testing procedure and offer examples to illustrate each concept. They also offer sound advice
Multivariate Tests for Time Series Models
Language: en
Pages: 98
Authors: Jeff B. Cromwell, Michel Terraza
Categories: Social sciences
Type: BOOK - Published: 1994 - Publisher: SAGE

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.
Time Series Analysis
Language: en
Pages: 614
Authors: William W. S. Wei
Categories: Mathematics
Type: BOOK - Published: 2006 - Publisher: Pearson College Division

With its broad coverage of methodology, this comprehensive book is a useful learning and reference tool for those in applied sciences where analysis and research of time series is useful. Its plentiful examples show the operational details and purpose of a variety of univariate and multivariate time series methods. Numerous
Econometrics With Matlab
Language: en
Pages: 250
Authors: A. Smith
Categories: Mathematics
Type: BOOK - Published: 2017-11-09 - Publisher:

Econometrics Toolbox provides functions for modeling economic data. You can select and estimate economic models for simulation and forecasting. For time series modeling and analysis, the toolbox includes univariate Bayesian linear regression, univariate ARIMAX/GARCH composite models with several GARCH variants, multivariate VARX models, and cointegration analysis. It also provides methods
Introduction to Time Series Analysis
Language: en
Pages: 232
Authors: Mark Pickup
Categories: Social Science
Type: BOOK - Published: 2014-10-15 - Publisher: SAGE Publications

Introducing time series methods and their application in social science research, this practical guide to time series models is the first in the field written for a non-econometrics audience. Giving readers the tools they need to apply models to their own research, Introduction to Time Series Analysis, by Mark Pickup,