Modeling Multiple Time Series with Applications
- 1 December 1981
- journal article
- theory and-method
- Published by Taylor & Francis in Journal of the American Statistical Association
- Vol. 76 (376) , 802-816
- https://doi.org/10.1080/01621459.1981.10477728
Abstract
An approach to the modeling and analysis of multiple time series is proposed. Properties of a class of vector autoregressive moving average models are discussed. Modeling procedures consisting of tentative specification, estimation, and diagnostic checking are outlined and illustrated by three real examples.Keywords
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