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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Multiple Time Series Models

Multiple Time Series Models

Williams, John Taylor
Brandt, Patrick T.

Paperback

Series: Quantitative Applications in the Social Sciences, Book 148

Probability & Statistics

ISBN10: 1412906563
ISBN13: 9781412906562
Publisher: Sage Publications, Inc
Published: Sep 1 2006
Pages: 120
Weight: 0.31
Height: 0.25 Width: 5.38 Depth: 8.64
Language: English
Many analyses of time series data involve multiple, related variables. Multiple Time Series Models 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.

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