Univariate tests for time series models:
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Thousand Oaks [u.a.]
Sage
1994
|
| Schriftenreihe: | Quantitative applications in the social sciences
99 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VI, 96 S. graph. Darst. |
| ISBN: | 080394991X |
Internformat
MARC
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| 100 | 1 | |a Cromwell, Jeff B. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Univariate tests for time series models |c Jeff B. Cromwell ; Walter C. Labys ; Michel Terraza |
| 264 | 1 | |a Thousand Oaks [u.a.] |b Sage |c 1994 | |
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| 650 | 7 | |a Univariate methoden |2 gtt | |
| 650 | 4 | |a Sozialwissenschaften | |
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| 650 | 4 | |a Time-series analysis | |
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Datensatz im Suchindex
| _version_ | 1804123881544351744 |
|---|---|
| adam_text | CONTENTS
Series Editor s Introduction v
1. Introduction 1
Definition 3
Independence 4
Decomposition 5
Structure 6
Stationarity 7
Time Series Tests and Model Building 8
2. Testing for Stationarity 10
Transformations 10
Random Walk 12
Dickey Fuller Test 13
Augmented Dickey Fuller Test 16
3. Testing for Normality 19
Normal Distribution Test 19
Jarque Bera Test 20
Studentized Range Test 23
4. Testing for Independence 24
Ljung Box and Box Pierce Test 25
Turning Point Test 27
Runs Test 28
Rank Version of the von Neumann Ratio Test 31
Brock, Dechert, and Scheinkman Test 32
5. Testing for Linear or Nonlinear Dependence 37
Keenan Test 37
Luukkonen Test 41
McLeod Li Test 43
Hsieh Test 45
6. Linear Model Specification 49
Autoregressive Models 49
Moving Average Models 50
Autoregressive Moving Average Models 51
Order of Integration 51
7. Nonlinear Model Specification 53
Autoregressive Conditional Heteroscedastic Models 54
Bilinear Models 57
Threshold Autoregressive Models 58
Exponential Autoregressive Models 59
8. Testing for Model Order 60
Likelihood Ratio Test 61
Final Prediction Error Test 63
Autoregressive Transfer Function Test 65
Akaike Information Criterion Test 66
Bayesian Information Criterion Test 66
Bayesian Estimation Method Test 67
Schwarz Test 67
Hannan Quinn Criterion Test 67
9. Testing the Residual Process 70
Specification Test 70
ARCH Test 73
Bilinear Test 74
10. Computational Methods for Performing the Tests 76
Appendix: Statistical Tables 79
A. 1 Critical Values for Dickey Fuller Test Statistics 79
B.I Areas under the Standard Normal Distribution 80
B.2 Percentage Points of the t Distribution 81
B.3 Upper Percentage Points of the F Distribution 82
B.4 Upper Percentage Points of the % Distribution 88
References 90
About the Authors 95
|
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| id | DE-604.BV009542242 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:36:49Z |
| institution | BVB |
| isbn | 080394991X |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-006302764 |
| oclc_num | 28963949 |
| open_access_boolean | |
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| physical | VI, 96 S. graph. Darst. |
| publishDate | 1994 |
| publishDateSearch | 1994 |
| publishDateSort | 1994 |
| publisher | Sage |
| record_format | marc |
| series | Quantitative applications in the social sciences |
| series2 | Quantitative applications in the social sciences Sage university papers |
| spelling | Cromwell, Jeff B. Verfasser aut Univariate tests for time series models Jeff B. Cromwell ; Walter C. Labys ; Michel Terraza Thousand Oaks [u.a.] Sage 1994 VI, 96 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Quantitative applications in the social sciences 99 Sage university papers Estatistica aplicada as ciencias sociais larpcal Sciences sociales - Méthodes statistiques Statistische toetsen gtt Série chronologique Tijdreeksen gtt Univariate methoden gtt Sozialwissenschaften Social sciences Statistical methods Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 s DE-604 Labys, Walter C. Verfasser aut Terraza, Michel Verfasser aut Quantitative applications in the social sciences 99 (DE-604)BV000005102 99 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006302764&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Cromwell, Jeff B. Labys, Walter C. Terraza, Michel Univariate tests for time series models Quantitative applications in the social sciences Estatistica aplicada as ciencias sociais larpcal Sciences sociales - Méthodes statistiques Statistische toetsen gtt Série chronologique Tijdreeksen gtt Univariate methoden gtt Sozialwissenschaften Social sciences Statistical methods Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4067486-1 |
| title | Univariate tests for time series models |
| title_auth | Univariate tests for time series models |
| title_exact_search | Univariate tests for time series models |
| title_full | Univariate tests for time series models Jeff B. Cromwell ; Walter C. Labys ; Michel Terraza |
| title_fullStr | Univariate tests for time series models Jeff B. Cromwell ; Walter C. Labys ; Michel Terraza |
| title_full_unstemmed | Univariate tests for time series models Jeff B. Cromwell ; Walter C. Labys ; Michel Terraza |
| title_short | Univariate tests for time series models |
| title_sort | univariate tests for time series models |
| topic | Estatistica aplicada as ciencias sociais larpcal Sciences sociales - Méthodes statistiques Statistische toetsen gtt Série chronologique Tijdreeksen gtt Univariate methoden gtt Sozialwissenschaften Social sciences Statistical methods Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Estatistica aplicada as ciencias sociais Sciences sociales - Méthodes statistiques Statistische toetsen Série chronologique Tijdreeksen Univariate methoden Sozialwissenschaften Social sciences Statistical methods Time-series analysis Zeitreihenanalyse |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006302764&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000005102 |
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