Multivariate tests for time series models:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Thousand Oaks, Calif. [u.a.]
Sage
1994
|
| Schriftenreihe: | Quantitative applications in the social sciences
100 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VI, 98 S. graph. Darst. |
| ISBN: | 0803954409 |
Internformat
MARC
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| 245 | 1 | 0 | |a Multivariate tests for time series models |c Jeff B. Cromwell ... |
| 264 | 1 | |a Thousand Oaks, Calif. [u.a.] |b Sage |c 1994 | |
| 300 | |a VI, 98 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Quantitative applications in the social sciences |v 100 | |
| 490 | 0 | |a A Sage university paper | |
| 650 | 4 | |a Zeitreihenanalyse / Theorie | |
| 650 | 4 | |a Sozialwissenschaften | |
| 650 | 4 | |a Time-series analysis | |
| 650 | 4 | |a Social sciences -- Statistical methods | |
| 650 | 0 | 7 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Cromwell, Jeff B. |e Sonstige |4 oth | |
| 830 | 0 | |a Quantitative applications in the social sciences |v 100 |w (DE-604)BV000005102 |9 100 | |
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Datensatz im Suchindex
| _version_ | 1804124174125367296 |
|---|---|
| adam_text | CONTENTS
Series Editor s Introduction v
1. Introduction 1
Relations Between Variables 3
Joint Stationarity 3
Covariance and Correlation 5
Time Series Tests and Model Building 6
2. Testing for Joint Stationarity, Normality, and
Independence 9
Testing for Joint Stationarity 9
Fountis Dickey Test 10
Transformations 11
Testing for Normality 12
Skewness and Kurtosis Test 13
Testing for Independence 14
Portmanteau Test 15
Pierce Haugh Test 15
3. Testing for Cointegration 17
Cointegrating Regression Durbin Watson (CRDW) Test 19
Dickey Fuller (DF) Test 21
Augmented Dickey Fuller (ADF) Test 23
Engle Granger Tests 25
Johansen Test 29
Granger Lee Test 30
4. Testing for Causality 32
Granger Causality Test 33
Sims Test 40
Geweke Meese Dent Test 43
Pierce Haugh Test 46
Geweke Test 49
General Guidelines 55
5. Multivariate Linear Model Specification 56
Transfer Function Models (TF) 56
Vector Autoregressive Models (VAR) 58
Vector Moving Average Models (VMA) 59
Testing Decompositions and Impulse Functions 62
Bayesian Vector Autoregressive Models (BVAR) 65
Vector Autoregressive Moving Average Models
(VARMA) 67
Error Correction Models (ECM) 68
State Space Models 70
6. Multivariate Nonlinear Models 71
Feedforward Neural Networks 72
7. Model Order and Forecast Accuracy 73
Testing for Model Order 74
Testing for Forecast Accuracy 76
Accuracy of Individual Models 78
Nonparametric Tests 80
Comparative Accuracy Across Models 82
8. Computational Methods for Performing the Tests 84
Appendix: Statistical Tables 87
A.I Critical Values for the Dickey Fuller Test 87
A.2 Critical Values and Power of the Engle Granger
Test 88
A.3 Critical Values for the Engle Yoo Cointegration
Test 90
References 91
About the Authors 97
|
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| discipline | Soziologie Psychologie Mathematik Wirtschaftswissenschaften |
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| id | DE-604.BV009819972 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:41:28Z |
| institution | BVB |
| isbn | 0803954409 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-006501152 |
| oclc_num | 246622441 |
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| physical | VI, 98 S. graph. Darst. |
| publishDate | 1994 |
| publishDateSearch | 1994 |
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| series | Quantitative applications in the social sciences |
| series2 | Quantitative applications in the social sciences A Sage university paper |
| spelling | Multivariate tests for time series models Jeff B. Cromwell ... Thousand Oaks, Calif. [u.a.] Sage 1994 VI, 98 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Quantitative applications in the social sciences 100 A Sage university paper Zeitreihenanalyse / Theorie Sozialwissenschaften Time-series analysis Social sciences -- Statistical methods Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 s DE-604 Cromwell, Jeff B. Sonstige oth Quantitative applications in the social sciences 100 (DE-604)BV000005102 100 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006501152&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Multivariate tests for time series models Quantitative applications in the social sciences Zeitreihenanalyse / Theorie Sozialwissenschaften Time-series analysis Social sciences -- Statistical methods Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4067486-1 |
| title | Multivariate tests for time series models |
| title_auth | Multivariate tests for time series models |
| title_exact_search | Multivariate tests for time series models |
| title_full | Multivariate tests for time series models Jeff B. Cromwell ... |
| title_fullStr | Multivariate tests for time series models Jeff B. Cromwell ... |
| title_full_unstemmed | Multivariate tests for time series models Jeff B. Cromwell ... |
| title_short | Multivariate tests for time series models |
| title_sort | multivariate tests for time series models |
| topic | Zeitreihenanalyse / Theorie Sozialwissenschaften Time-series analysis Social sciences -- Statistical methods Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Zeitreihenanalyse / Theorie Sozialwissenschaften Time-series analysis Social sciences -- Statistical methods Zeitreihenanalyse |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006501152&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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