Multiple Time Series Models (Paperback) (ISBN-13: 9781412906562)

Multiple Time Series Models introduces researchers and students to the different approaches to modeling multivariate time series data including simultaneous equations, ARIMA, error correction models, and vector autoregression. Authors Patrick T. Brandt and John T. Williams focus on vector autoregression (VAR) models as a generalization of these other approaches and discuss specification, estimation, and inference using these models.

Author: Patrick T. Brandt, John Taylor Williams
ISBN-10: 1412906563
ISBN-13: 9781412906562
Publisher: Sage Publications, Inc
Language: English
Published: 09/21/2006
Pages: 120
Format: Paperback
Weight: 0.31lbs
Size: 8.64h x 5.38w x 0.25d

Review Citation(s):
Reference and Research Bk News 02/01/2007 pg. 99