Time series analysis : regression techniques

Author(s)

• Ostrom, Charles W.

Bibliographic Information

Time series analysis : regression techniques

Charles W. Ostrom, Jr

（Sage university papers series, . Quantitative applications in the social sciences ; no. 07-009）

Sage Publications, 1990

2nd ed

Note

Bibliography: p. 93-94

Description and Table of Contents

Description

"The text gives a good basis for understanding the ideas of the time series models and estimation, without overwhelming readers with the complexity of the subject." --Journal of the American Statistical Association Completely revised and updated, this second edition of Time Series Analysis examines techniques for the study of change based on regression analysis. Ostrom demonstrates how these regression techniques may be employed for hypothesis testing, estimating, and forecasting. In addition, analysis strategies for both lagged and nonlagged models are presented and alternative time-dependent processes are explored.

Table of Contents

Introduction Time Series Regression Analysis Nonlagged Case A Ratio Goal Hypothesis The Error Term Time Series Regression Model Nonautoregression Assumption Consequences of Violating the Nonautoregression Assumption Conventional Tests for Autocorrelation An Alternative Method of Estimation EGLS Estimation (First-Order Autocorrelation) Small Sample Properties The Ratio Goal Hypothesis Reconsidered Extension to Multiple Regression Conclusion Alternative Time-Dependent Processes Alternative Processes Testing for Higher Order Processes Process Identification Estimation Example Estimation of Models with Errors Generated by Alternative Time Dependent Processes Example Ratio Goal Model Reconsidered Conclusion Time Series Regression Analysis Lagged Case Distributed Lag Models Lagged Endogenous Variables Testing for Autocorrelation in Models with Lagged Endogenous Variables Estimation EGLA Estimation Example A Revised Ratio Goal Model Interpreting Distributed Lag Models Conclusion Forecasting Forecast Error Forecast Generation Modifying the Forecast Equation Forecast Evaluation Example Conclusion Summary

by "Nielsen BookData"

Details

• NCID: BA10101733
• ISBN:
  • 0803931352
• LCCN: 89010715
• Country Code: us
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Newbury Park, Calif.
• Pages/Volumes: 95 p.
• Size: 22 cm
• Classification:
  • LCC : HA30.3
  • DC20 : 300/.1/51955
  • NDC8 : 417.6
  • NDC8 : 301.6
• Subject Headings:
  • LCSH : Time-series analysis
  • LCSH : Social sciences -- Statistical methods
  • LCSH : Regression analysis
• Parent Bibliography ID:
  • BA00656709