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Multivariate Tests for Time Series Models : Quantitative Applications in the Social Sciences - Jeffrey B. Cromwell

Multivariate Tests for Time Series Models

Quantitative Applications in the Social Sciences

Paperback Published: 1st August 1994
ISBN: 9780803954403
Number Of Pages: 104

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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
Table of Contents provided by Ingram. All Rights Reserved.

ISBN: 9780803954403
ISBN-10: 0803954409
Series: Quantitative Applications in the Social Sciences
Audience: Professional
Format: Paperback
Language: English
Number Of Pages: 104
Published: 1st August 1994
Country of Publication: US
Dimensions (cm): 20.27 x 15.29  x 0.66
Weight (kg): 0.13

Earn 83 Qantas Points
on this Book