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Forecasting with Dynamic Regression Models : Wiley Series in Probability and Statistics - Alan Pankratz

Forecasting with Dynamic Regression Models

Wiley Series in Probability and Statistics

Hardcover

Published: 24th October 1991
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One of the most widely used tools in statistical forecasting, single equation regression models is examined here. A companion to the author's earlier work, "Forecasting with Univariate Box-Jenkins Models: Concepts and Cases," the present text pulls together recent time series ideas and gives special attention to possible intertemporal patterns, distributed lag responses of output to input series and the auto correlation patterns of regression disturbance. It also includes six case studies.

A Primer on ARIMA Models.

A Primer on Regression Models.

Rational Distributed Lag Models.

Building Dynamic Regression Models: Model Identification.

Building Dynamic Regression Models: Model Checking, Reformulation, and Evaluation.

Intervention Analysis.

Intervention and Outlier Detection and Treatment.

Estimation and Forecasting.

Dynamic Regression Models in a Vector ARMA Framework.

Appendices.

References.

Index.

ISBN: 9780471615286
ISBN-10: 0471615285
Series: Wiley Series in Probability and Statistics
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 400
Published: 24th October 1991
Publisher: John Wiley and Sons Ltd
Country of Publication: US
Dimensions (cm): 24.6 x 16.3  x 2.46
Edition Number: 1