Univariate Tests for Time Series Models
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A01=Jeffrey B. Cromwell
A01=Michel Terraza
A01=Walter C. Labys
Author_Jeffrey B. Cromwell
Author_Michel Terraza
Author_Walter C. Labys
Category=JHBA
Category=JHBC
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QASS
Quantitative Applications in the Social Sciences
Quantitative/Statistical Research
QuantitativeStatistical Research
Product details
- ISBN 9780803949911
- Weight: 140g
- Dimensions: 139 x 215mm
- Publication Date: 22 Feb 1994
- Publisher: SAGE Publications Inc
- Publication City/Country: US
- Product Form: Paperback
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Taking a sequential approach to time-series model building, this 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. The authors also provide advice on how to perform the tests using different software packages. "This provides a nice roadmap for those doing time series analysis, and the authors should be applauded for this... Their approach is straightforward and logical and I believe will be useful many practicing statisticians." --Technometrics
Dr. Jeff B. Cromwell is a graduate of West Virginia University with research interests in computational statistics, econometrics and time series analysis.
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).
