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Multiple Time Series Models, Paperback by Brandt, Patrick T.; Williams, John T., ISBN 1412906563, ISBN-13 9781412906562, Brand New, Free shipping in the US
Multiple Time Series Models introduces researchers and students to the different approaches to modeling multivariate time series data including simultaneous equations, ARIMA, error correction models, and vector autoregression. Authors Patrick T. Brandt and John T. Williams focus on vector autoregression (VAR) models as a generalization of these other approaches and discuss specification, estimation, and inference using these models.
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