You are here

Resources to help you teach online

See our resources page for information, support and best practices.

Due to the current restrictions in place, our inspection copy policy has changed. Please refer to our updated inspection copy policy for details.

Multiple Time Series Models

Multiple Time Series Models

November 2006 | 120 pages | SAGE Publications, Inc
Many analyses of time series data involve multiple, related variables.á Multiple Time Series Models presents many specification choices and special challenges.á This book reviews the main competing approaches to modeling multiple time series: simultaneous equations, ARIMA, error correction models, and vector autoregression.ááThe text focuses on vector autoregression (VAR) models as a generalization of the other approaches mentioned.á Specification, estimation, and inference using these modelsáis discussed.á 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 FeaturesOffers 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.
List of Figures
List of Tables
Series Editor?s Introduction
1. Introduction to Multiple Time Series Models
1.1 Simultaneous Equation Approach

1.2 ARIMA Approach

1.3 Error Correction or LSE Approach

1.4 Vector Autoregression Approach

1.5 Comparison and Summary

2. Basic Vector Autoregression Models
2.1 Dynamic Structural Equation Models

2.2 Reduced Form Vector Autoregressions

2.3 Relationship of a Dynamic Structural Equation Model to a Vector Autoregression Model

2.4 Working With This Model

2.5 Specification and Analysis of VAR Models

2.6 Other Specification Issues

2.7 Unit Roots and Error Correction in VARs

2.8 Criticisms of VAR

3. Examples of VAR Analyses
3.1 Public Mood and Macropartisanship

3.2 Effective Corporate Tax Rates

3.3 Conclusion

Appendix: Software for Multiple Time Series Models
About the Authors

"This book amazingly introduces multiple time series on varied levels to help the reader to understand their assumptions, their four approaches, how to build theories to accompany their modeling, and how to interpret their results. This book would be quite an initiation, sweet and succinct, in advanced undergraduate and graduate courses on time series.  In addition, it is a useful and reliable resource  . . . this book also makes a fun reading!"

Ruth Chao
Contemporary Psychology: APA Review

Sample Materials & Chapters

Chapter 1

For instructors

Select a Purchasing Option

SAGE Research Methods is a research methods tool created to help researchers, faculty and students with their research projects. SAGE Research Methods links over 175,000 pages of SAGE’s renowned book, journal and reference content with truly advanced search and discovery tools. Researchers can explore methods concepts to help them design research projects, understand particular methods or identify a new method, conduct their research, and write up their findings. Since SAGE Research Methods focuses on methodology rather than disciplines, it can be used across the social sciences, health sciences, and more.

With SAGE Research Methods, researchers can explore their chosen method across the depth and breadth of content, expanding or refining their search as needed; read online, print, or email full-text content; utilize suggested related methods and links to related authors from SAGE Research Methods' robust library and unique features; and even share their own collections of content through Methods Lists. SAGE Research Methods contains content from over 720 books, dictionaries, encyclopedias, and handbooks, the entire “Little Green Book,” and "Little Blue Book” series, two Major Works collating a selection of journal articles, and specially commissioned videos.