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Multiple Time Series Models

Multiple Time Series Models

September 2006 | 120 pages | SAGE Publications, Inc
Many analyses of time series data involve multiple, related variables.á Multiple Time Series Models presents many specification choices and special challenges.á This book reviews the main competing approaches to modeling multiple time series: simultaneous equations, ARIMA, error correction models, and vector autoregression.ááThe text focuses on vector autoregression (VAR) models as a generalization of the other approaches mentioned.á Specification, estimation, and inference using these modelsáis discussed.á The authors also review arguments for and against using multi-equation time series models. Two complete, worked examples show how VAR models can be employed. An appendix discusses software that can be used for multiple time series models and software code for replicating the examples is available.Key FeaturesOffers a detailed comparison of different time series methods and approaches. Includes a self-contained introduction to vector autoregression modeling. Situates multiple time series modeling as a natural extension of commonly taught statistical models.
List of Figures
List of Tables
Series Editor?s Introduction
1. Introduction to Multiple Time Series Models
1.1 Simultaneous Equation Approach

1.2 ARIMA Approach

1.3 Error Correction or LSE Approach

1.4 Vector Autoregression Approach

1.5 Comparison and Summary

2. Basic Vector Autoregression Models
2.1 Dynamic Structural Equation Models

2.2 Reduced Form Vector Autoregressions

2.3 Relationship of a Dynamic Structural Equation Model to a Vector Autoregression Model

2.4 Working With This Model

2.5 Specification and Analysis of VAR Models

2.6 Other Specification Issues

2.7 Unit Roots and Error Correction in VARs

2.8 Criticisms of VAR

3. Examples of VAR Analyses
3.1 Public Mood and Macropartisanship

3.2 Effective Corporate Tax Rates

3.3 Conclusion

Appendix: Software for Multiple Time Series Models
About the Authors

"This book amazingly introduces multiple time series on varied levels to help the reader to understand their assumptions, their four approaches, how to build theories to accompany their modeling, and how to interpret their results. This book would be quite an initiation, sweet and succinct, in advanced undergraduate and graduate courses on time series.  In addition, it is a useful and reliable resource  . . . this book also makes a fun reading!"

Ruth Chao
Contemporary Psychology: APA Review

Sample Materials & Chapters

Chapter 1

Patrick T. Brandt

Patrick T. Brandt is an Assistant Professor of Political Science in the School of Social Science at the University of Texas at Dallas.  He has published in the American Journal of Political Science and Political Analysis.  He teaches courses in social science research methods and social science statistics.  His current research focuses on the development and application of time series models to the study of political institutions, political economy, and international relations.  He received an A.B. (1990) in Government from the College of William and Mary, an M.S. (1997) in Mathematical Methods in the Social Sciences from Northwestern... More About Author

John T. Williams

John T. Williams was Professor and Chair of the Department of Political Science at University of California, Riverside. He taught time series analysis at the Inter-university Consortium for Political and Social Research Summer Training Program for over ten years. His work uses statistical methods in the study of political economy and public policy. He co-authored two books: Compound Dilemmas: Democracy, Collective Action, and Superpower Rivalry (University of Michigan Press, 2001) and Public Policy Analysis: A Political Economy Approach (Houghton Mifflin, 2000). He published over twenty journal articles and book chapters on a wide range of... More About Author

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ISBN: 9781412906562

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