Multiple time series modeling using the SAS VARMAX procedure /

Multiple time series modeling using the SAS Varmax Procedure

Aimed at econometricians who have completed at least one course in time series modeling, this comprehensive book will teach you the time series analytical possibilities that SAS offers today. --

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Milhøj, Anders (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cary, NC : SAS Institute, 2016.
Temas:
Mathematical statistics.
MATHEMATICS > Applied.
MATHEMATICS > Probability & Statistics > General.
Mathematical statistics
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • Introduction
  • Regression analysis for time series data
  • Regression analysis with autocorrelated errors
  • Regression models for differenced series
  • Tests for differencing time series
  • Models for univariate time series
  • Use of the VARMAX procedure to model univariate series
  • Models for multivariate time series
  • Use of the VARMAX procedure to model multivariate series
  • Exploration of the output
  • Causality tests for the Danish Egg Market
  • Bayesian vector autoregressive models
  • Vector error correction models
  • Cointegration
  • Univariate GARCH models
  • Multivariate GARCH models
  • Multivariate VARM-GARCH models.

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