[Multivariate Tests for Time Series Models] (By: Jeff B. Cromwell) [published: August, 1994]

by Jeff B. Cromwell

Which time series test should a researcher chose to best describe the interactions among a set of time series variables? Aimed at providing social scientists with practical guidelines for identifying the appropriate multivariate time series model to use, this book explores the nature and application of these increasingly complex tests. Other topics it covers are joint stationarity, testing for cointegration, testing for Granger causality, and testing for model order, and forecast accuracy. Related models explained include transfer function, vector autoregression, error correction models, and others. Readers with a working knowledge of time series regression will find this helpful book accessible.

Paperback

First published July 6, 1994

About the author

Jeff B. Cromwell has a PhD in Natural Resource Economics from West Virginia University and writes books in mathematics, computer science, music, science, science fiction, romance and fantasy. He is an accomplished author and software engineer with appointments at several universities and consulting for several financial and academic research departments and institutes. He has written for magazines as a columnist and contributed articles to books and journals. Along with fluency in several computer languages, Jeff speaks and can write in Mandarin and Japanese as well as play the clarinet and piano. This site shares his love of literature and reading that first started with a dictionary, a collection of encyclopedia volumes and a Timex-Sinclair computer in his youth. Enjoy the day.