You are here

Multivariate Tests for Time Series Models
Share

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.
 
Introduction
 
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

For instructors

Please contact your Academic Consultant to check inspection copy availability for your course.

Select a Purchasing Option

ISBN: 9780803954403
£33.99

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.