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Univariate Tests for Time Series Models

Univariate Tests for Time Series Models

104 pages | SAGE Publications, Inc
Taking a sequential approach to time-series model building, this easy-to-use and widely applicable book explores how to test for stationarity, normality, independence, linearity, model order, and properties of the residual process. The authors clearly define each testing procedure and offer examples to illustrate each concept. They also offer sound advice on how to perform the tests using different software packages.
Testing for Stationarity
Testing for Normality
Testing for Independence
Testing for Linear or Nonlinear Dependence
Linear Model Specification
Nonlinear Model Specification
Testing for Model Order
Testing for Residual Process
Computational Methods for Performing the Tests

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

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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