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Univariate Tests for Time Series Models
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Univariate Tests for Time Series Models

Volume: 99
104 pages | SAGE Publications, Inc
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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.
 
Introduction
 
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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