Univariate Tests for Time Series Models

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Jeff B. Cromwell - Design of Harmony (Chandler, AZ), West Virginia University, USA
Walter C. Labys - West Virginia University, USA
Michel Terraza - Montpellier University

Volume: 99

Series:
Quantitative Applications in the Social Sciences

December 1993 | 104 pages | SAGE Publications, Inc

Description
Contents

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

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Available Formats

ISBN: 9780803949911	Paperback	Suggested Retail Price: $46.00	Bookstore Price: $36.80
ISBN: 9781452214108	Electronic Version	Suggested Retail Price: $38.00	Bookstore Price: $30.40

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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

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