Time Series Modelling using Proc Varmax

Anders Milhøj

Time Series Modelling using Proc Varmax

Økonomisk Institut

Abstract

In this paper it will be demonstrated how various time series problems could be met using Proc Varmax. The procedure is rather new and hence new features like cointegration, testing for Granger causality are included, but it also means that more traditional ARIMA modelling as outlined by Box & Jenkins is performed in a more modern way using the computer resources which are now available

Originalsprog	Engelsk
Titel	Symposium i anvendt statistik 2007
Forlag	Danmarks Statistik
Publikationsdato	2007
Sider	85-93
ISBN (Trykt)	97887501155939
Status	Udgivet - 2007
Begivenhed	Symposium i anvendt statistik 2007 - Aarhus Universitet. Institut for Økonomi, Danmark Varighed: 30 jan. 2007 → 31 jan. 2007 Konferencens nummer: 29

Konference

Konference	Symposium i anvendt statistik 2007
Nummer	29
Land/Område	Danmark
By	Aarhus Universitet. Institut for Økonomi
Periode	30/01/2007 → 31/01/2007

Citationsformater

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title = "Time Series Modelling using Proc Varmax",

abstract = "In this paper it will be demonstrated how various time series problems could be met using Proc Varmax. The procedure is rather new and hence new features like cointegration, testing for Granger causality are included, but it also means that more traditional ARIMA modelling as outlined by Box & Jenkins is performed in a more modern way using the computer resources which are now available",

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AB - In this paper it will be demonstrated how various time series problems could be met using Proc Varmax. The procedure is rather new and hence new features like cointegration, testing for Granger causality are included, but it also means that more traditional ARIMA modelling as outlined by Box & Jenkins is performed in a more modern way using the computer resources which are now available

M3 - Article in proceedings

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EP - 93

BT - Symposium i anvendt statistik 2007

PB - Danmarks Statistik

T2 - Symposium i anvendt statistik 2007

Y2 - 30 January 2007 through 31 January 2007

ER -

Time Series Modelling using Proc Varmax

Abstract

Konference

Fingeraftryk

Citationsformater