Forecasting With Dynamic Regression Models

Informationen zum Autor Alan Pankratz is the author of Forecasting with Dynamic Regression Models, published by Wiley. Klappentext One of the most widely used tools in statistical forecasting, single equation regression models is examined here. A companion to the author's earlier work, "Forecasting with Univariate Box-Jenkins Models: Concepts and Cases," the present text pulls together recent time series ideas and gives special attention to possible intertemporal patterns, distributed lag responses of output to input series and the auto correlation patterns of regression disturbance. It also includes six case studies. Zusammenfassung This study presents the concepts and practice of interpreting single equation dynamic regression models. Emphasis is placed on possible dynamic patterns! such as distributed lag responses of the output series to the input series and the auto-correlation patterns of the regression disturbance. Inhaltsverzeichnis A Primer on ARIMA Models. A Primer on Regression Models. Rational Distributed Lag Models. Building Dynamic Regression Models: Model Identification. Building Dynamic Regression Models: Model Checking, Reformulation,and Evaluation. Intervention Analysis. Intervention and Outlier Detection and Treatment. Estimation and Forecasting. Dynamic Regression Models in a Vector ARMA Framework. Appendices. References. Index.

Product details

• Authors: Pankratz, A Pankratz, Alan Pankratz, Alan (Depaul University Pankratz, Pankratz Alan
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Hardback
• Released: 15.11.1991
• EAN: 9780471615286
• ISBN: 978-0-471-61528-6
• No. of pages: 400
• Series: Wiley Series in Probability &; Wiley Series in Probability and Statistics
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; MATHEMATICS / Probability & Statistics / General, Probability & statistics, Probability and statistics