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Multivariate Tests for Time Series Models

Multivariate Tests for Time Series Models

August 1994 | 104 pages | SAGE Publications, Inc
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. In addition, it covers such topics as: joint stationarity; testing for cointegration; testing for causality; and model order and forecast accuracy. Related models explained include transfer function, vector autoregression and error correction models.
Testing for Joint Stationarity, Normality and Independence
Testing for Cointegration
Testing for Causality
Multivariate Linear Model Specification
Multivariate Nonlinear Specification
Model Order and Forecast Accuracy
Computational Methods for Performing the Tests

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ISBN: 9780803954403

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