Multivariate Tests for Time Series Models, Issue 100

Front Cover
SAGE, 1994 - Social sciences - 98 pages
0 Reviews
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.
 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

Testing for Joint Stetionarity Normality
9
Testing for Cointegration
17
Testing for Causality
32
Multivariate Linear Model Specification
56
Multivariate Nonlinear Models
71
Computational Methods for Performing the Tests
84
References
91
About the Authors
97
Copyright

Other editions - View all

Common terms and phrases

Popular passages

Page 91 - Causality analysis and multivariate autoregressive modelling with an application to supermarket sales analysis, Journal of Economic Dynamics and Control 3, Aug., 267-298.

References to this book

All Book Search results »

Bibliographic information