Multiple Time Series Models: 148 (Quantitative Applications in the Social Sciences)

by John Taylor Williams (Author), Patrick T. Brandt (Author)

• New

  Illustrated
  2006

  $40.64

  Reviews the main competing approaches to modeling multiple time series: simultaneous equations, ARIMA, error correction models, and vector autoregression. This book focuses on vector autoregression (VAR) models as a generalization of the other approaches mentioned. It also reviews arguments for and against using multi-equation time series models.