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portada Multiple Time Series Models (Quantitative Applications in the Social Sciences)
Type
Physical Book
Publisher
Year
2006
Language
English
Pages
120
Format
Paperback
ISBN
1412906563
ISBN13
9781412906562
Edition No.
1

Multiple Time Series Models (Quantitative Applications in the Social Sciences)

Patrick T. Brandt; John Taylor Williams (Author) · Sage Pubns · Paperback

Multiple Time Series Models (Quantitative Applications in the Social Sciences) - Patrick T. Brandt; John Taylor Williams

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Synopsis "Multiple Time Series Models (Quantitative Applications in the Social Sciences) "

Many analyses of time series data involve multiple, related variables.á Multiple Time Series Models presents many specification choices and special challenges.á This book reviews the main competing approaches to modeling multiple time series: simultaneous equations, ARIMA, error correction models, and vector autoregression.ááThe text focuses on vector autoregression (VAR) models as a generalization of the other approaches mentioned.á Specification, estimation, and inference using these modelsáis discussed.á The authors also review arguments for and against using multi-equation time series models. Two complete, worked examples show how VAR models can be employed. An appendix discusses software that can be used for multiple time series models and software code for replicating the examples is available.Key FeaturesOffers a detailed comparison of different time series methods and approaches. Includes a self-contained introduction to vector autoregression modeling. Situates multiple time series modeling as a natural extension of commonly taught statistical models.

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