Multiple Time Series Models

Name: Multiple Time Series Models
Author: John Taylor Williams

John Taylor Williams, Patrick T. Brandt

SAGE Publications Inc

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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.

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