Multiple Time Series Models (Paperback)

Many analyses of time series data involve multiple, related variables. Modeling Multiple Time Series presents many specification choices and special challenges. This book reviews the main competing approaches to modeling multiple time series: simultaneous equations, ARIMA, error correction models, and vector autoregression. The text focuses on vector autoregression (VAR) models as a generalization of the other approaches mentioned. Specification, estimation, and inference using these models is discussed. 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 Features: * Offers 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.

General

Imprint:	Sage Publications Ltd
Country of origin:	United States
Series:	Quantitative Applications in the Social Sciences
Release date:	November 2006
First published:	September 2006
Authors:	Patrick T. Brandt • John Taylor Williams
Dimensions:	215 x 139 x 7mm (L x W x T)
Format:	Paperback
Pages:	120
ISBN-13:	978-1-4129-0656-2
Categories:	Books > Reference & Interdisciplinary > Communication studies > Research methods Books > Social sciences > Sociology, social studies > Social research & statistics > General Promotions
LSN:	1-4129-0656-3
Barcode:	9781412906562

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