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

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ISBN-10:

1412906563

ISBN-13:

9781412906562

Author(s): Brandt, Patrick T.; Williams, John Taylor
Edition: 1
Released: Sep 21, 2006
Publisher: Sage Publications, Inc.
Format: Paperback, 120 pages
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Description:

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.

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