Multivariate Tests for Time Series Models

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Multivariate Tests for Time Series Models

Jeff B. Cromwell - Design of Harmony (Chandler, AZ), West Virginia University, USA
Walter C. Labys - West Virginia University, USA
Michael J. Hannan - Edinboro University, Pennsylvania
Michel Terraza - Montpellier University

Volume: 100

Series:
Quantitative Applications in the Social Sciences

Other Titles in:
Quantitative/Statistical Research

July 1994 | 104 pages | SAGE Publications, Inc

Which time series test should researchers choose to best describe the interactions among a set of time series variables? Providing guidelines for identifying the appropriate multivariate time series model to use, this book explores the nature and application of these increasingly complex tests. In addition, it covers such topics as: joint stationarity; testing for cointegration; testing for causality; and model order and forecast accuracy. Related models explained include transfer function, vector autoregression and error correction models.

Introduction

Testing for Joint Stationarity, Normality and Independence

Testing for Cointegration

Testing for Causality

Multivariate Linear Model Specification

Multivariate Nonlinear Specification

Model Order and Forecast Accuracy

Computational Methods for Performing the Tests

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Jeffrey B. Cromwell

Dr. Jeff B. Cromwell is a graduate of West Virginia University with research interests in computational statistics, econometrics and time series analysis. More About Author

Walter C. Labys

Michael J. Hannan

Dr. Hannan joined Edinboro University's Department of Business & Economics in 1988 after earning a Ph.D. in Mineral Resource Economics from West Virginia University and a Bachelor of Arts degree in Economics from the University of Pittsburgh. Prior to coming to Edinboro University, Dr. Hannan also served as Senior Research Assistant at the Regional Research Institute, Morgantown, West Virginia. He has published several articles in professional journals, given presentations at professional meetings, conducted applied economic research and made several invited community presentation on economic topics. His recent research has focussed... More About Author

Michel Terraza

Michel Terraza is a science Professor of economics at Montpellier I University. He applied this decomposed measure when studying the wages inequalities in the Languedoc-Roussillon region (see the bibliography). He did it in collaboration with Françoise Seyte (Associate Professor) and Stéphane Mussard (Assistant Professor). More About Author

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