Description

Book Synopsis
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.

Table of Contents
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.

Forecasting with Dynamic Regression Models

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    A Hardback by Alan Pankratz

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      Book details

      Publisher John Wiley & Sons Inc
      Published 15 November 1991
      ISBN-13 9780471615286
      978-0471615286
      ISBN-10 0471615285
      Also in:
      Mathematics

      Description

      Book Synopsis
      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.

      Table of Contents
      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.

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