Multiple time series models
Auteur :
Brandt, Patrick T. / Williams, John Taylor
Éditeur :
SAGE Publications Inc
ISBN :
9781412906562
Date de publication :
2 nov. 2006
Dimensions :
21,5 x 13,9 cm
Poids :
140 g
Langue :
Anglais
Pays d'origine :
USA
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.