Forecasting with Dynamic Regression Models

By: Alan Pankratz

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Hardcover | 10 October 1991 | Edition Number 1

At a Glance

Hardcover
400 Pages

Dimensions(cm)
24.6 x 16.3 x 2.46

Hardcover

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This volume presents the basic concepts and practice of building, using and interpreting single equation dynamic regression models (also called transfer function and intervention models). The book is a companion volume to "Forecasting with Univariate Box-Jenkins Models", published in 1983. The emphasis of the book is on applications. It pulls together time series in the Box-Jenkins tradition that are important for the informed practice of single equation regression forecasting. Special attention is given to possible dynamic patterns - distributed lag responses of the output series to the input series, and the auto- correlation patterns of the regression disturbance.

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