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

Other Titles in:
Quantitative/Statistical Research (General)

February 1994 | 104 pages | SAGE Publications, Inc

Description
Contents

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.

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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