Forecasting with Dynamic Regression Models

ISBN-13: 9780471615286 / Angielski / Twarda / 1992 / 400 str.

Alan Pankratz

Opis

This volume presents the basic concepts and practice of building, using and interpreting single equation dynamic regression models (also called transfer function and intervention models). The book is a companion volume to Forecasting with

Spis treści

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.