Univariate Tests for Time Series Models

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ISBN: 9780803949911 | 080394991X
Cover: Paperback
Copyright: 12/14/1993

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Taking a sequential approach to time-series model building, this easy-to-use and widely applicable 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. They also offer sound advice on how to perform the tests using different software packages.

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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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Univariate Tests for Time Series Models

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Table of Contents

Supplemental Materials