Multivariate tests for time series models /
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.
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| 格式: | 图书 |
| 语言: | English |
| 出版: |
Thousand Oaks, Calif. :
Sage Publications,
c1994.
|
| 丛编: | Quantitative applications in the social sciences ;
no. 07-100. |
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| LEADER | 03083nam a22003378a 4500 | ||
|---|---|---|---|
| 001 | 004620748-1 | ||
| 005 | 20170318020811.0 | ||
| 008 | 940307s1994 caua b 000 0 eng | ||
| 010 | |a 94007961 | ||
| 020 | |a 0803954409 (pbk.) | ||
| 035 | 0 | |a ocm30078968 | |
| 040 | |a DLC |c DLC | ||
| 050 | 0 | 0 | |a HA30.3 |b .M85 1994 |
| 082 | 0 | 0 | |a 300/.1/51955 |2 20 |
| 245 | 0 | 0 | |a Multivariate tests for time series models / |c Jeff B. Cromwell ... [et al.]. |
| 260 | |a Thousand Oaks, Calif. : |b Sage Publications, |c c1994. | ||
| 300 | |a vi, 98 p. ; |b ill. ; |c 22 cm. | ||
| 490 | 1 | |a Sage university papers series. Quantitative applications in the social sciences ; |v no. 07-100 | |
| 504 | |a Includes bibliographical references. | ||
| 505 | 0 | 0 | |t Relations Between Variables -- |t Joint Stationarity -- |t Covariance and Correlation -- |t Time Series Tests and Model Building -- |t Testing for Joint Stationarity, Normality, and Independence -- |t Testing for Joint Stationarity -- |t Fountis-Dickey Test -- |t Transformations -- |t Testing for Normality -- |t Skewness and Kurtosis Test -- |t Testing for Independence -- |t Portmanteau Test -- |t Pierce-Haugh Test -- |t Testing for Cointegration -- |t Cointegrating Regression Durbin-Watson (CRDW) Test -- |t Dickey-Fuller (DF) Test -- |t Augmented Dickey-Fuller (ADF) Test -- |t Engle-Granger Tests -- |t Johansen Test -- |t Granger-Lee Test -- |t Testing for Causality -- |t Granger Causality Test -- |t Sims Test -- |t Geweke-Meese-Dent Test -- |t Pierce-Haugh Test -- |t Geweke Test -- |t Multivariate Linear Model Specification -- |t Transfer Function Models (TF) -- |t Vector Autoregressive Models (VAR) -- |t Vector Moving Average Models (VMA) -- |t Testing Decompositions and Impulse Functions -- |t Bayesian Vector Autoregressive Models (BVAR) -- |t Vector Autoregressive Moving Average Models (VARMA) -- |t Error Correction Models (ECM) -- |t State-Space Models -- |t Multivariate Nonlinear Models -- |t Feedforward Neural Networks -- |t Model Order and Forecast Accuracy -- |t Testing for Model Order -- |t Testing for Forecast Accuracy -- |t Accuracy of Individual Models -- |t Nonparametric Tests -- |t Comparative Accuracy Across Models -- |t Computational Methods for Performing the Tests -- |t Statistical Tables -- |t Critical Values for the Dickey-Fuller Test -- |t Critical Values and Power of the Engle-Granger Test. |
| 520 | 8 | |a 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. | |
| 650 | 0 | |a Time-series analysis. | |
| 650 | 0 | |a Social sciences |x Statistical methods. | |
| 650 | 1 | 2 | |a Social Sciences |x methods. |
| 650 | 1 | 2 | |a Statistics as Topic |x methods. |
| 650 | 0 | |a Multivariate analysis. | |
| 700 | 1 | |a Cromwell, Jeff B. | |
| 776 | 0 | 8 | |i Online version: |t Multivariate tests for time series models. |d Thousand Oaks, Calif. : Sage Publications, ©1994 |w (OCoLC)655056683 |
| 830 | 0 | |a Quantitative applications in the social sciences ; |v no. 07-100. | |
| 988 | |a 20020608 | ||
| 906 | |0 DLC | ||