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Multivariate Tests for Time Series Models
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Multivariate Tests for Time Series Models

Volume: 100
August 1994 | 104 pages | SAGE Publications, Inc
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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

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ISBN: 9780803954403
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