Time Series Modelling using Proc Varmax

Anders Milhøj

Time Series Modelling using Proc Varmax

Department of Economics

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

Original language	English
Title of host publication	Symposium i anvendt statistik 2007
Publisher	Danmarks Statistik
Publication date	2007
Pages	85-93
ISBN (Print)	97887501155939
Publication status	Published - 2007
Event	Symposium i anvendt statistik 2007 - Aarhus Universitet. Institut for Økonomi, Denmark Duration: 30 Jan 2007 → 31 Jan 2007 Conference number: 29

Conference

Conference	Symposium i anvendt statistik 2007
Number	29
Country/Territory	Denmark
City	Aarhus Universitet. Institut for Økonomi
Period	30/01/2007 → 31/01/2007

Cite this

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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

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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

Conference

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Cite this