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Multiple Time Series Models Patrick T. Brandt

Multiple Time Series Models By Patrick T. Brandt

Multiple Time Series Models by Patrick T. Brandt

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Summary

Reviews the main competing approaches to modeling multiple time series: simultaneous equations, ARIMA, error correction models, and vector autoregression. This book focuses on vector autoregression (VAR) models as a generalization of the other approaches mentioned. It also reviews arguments for and against using multi-equation time series models.

Multiple Time Series Models Summary

Multiple Time Series Models by Patrick T. Brandt

Many analyses of time series data involve multiple, related variables. Multiple Time Series Models presents many specification choices and special challenges. This book reviews the main competing approaches to modeling multiple time series: simultaneous equations, ARIMA, error correction models, and vector autoregression. The text focuses on vector autoregression (VAR) models as a generalization of the other approaches mentioned. Specification, estimation, and inference using these models is discussed. The authors also review arguments for and against using multi-equation time series models. Two complete, worked examples show how VAR models can be employed. An appendix discusses software that can be used for multiple time series models and software code for replicating the examples is available.

Key Features

  • Offers a detailed comparison of different time series methods and approaches.
  • Includes a self-contained introduction to vector autoregression modeling.
  • Situates multiple time series modeling as a natural extension of commonly taught statistical models.

Multiple Time Series Models Reviews

This book amazingly introduces multiple time series on varied levels to help the reader to understand their assumptions, their four approaches, how to build theories to accompany their modeling, and how to interpret their results. This book would be quite an initiation, sweet and succinct, in advanced undergraduate and graduate courses on time series. In addition, it is a useful and reliable resource . . . this book also makes a fun reading! -- Ruth Chao * Contemporary Psychology: APA Review *

About Patrick T. Brandt

Patrick T. Brandt is an Assistant Professor of Political Science in the School of Social Science at the University of Texas at Dallas. He has published in the American Journal of Political Science and Political Analysis. He teaches courses in social science research methods and social science statistics. His current research focuses on the development and application of time series models to the study of political institutions, political economy, and international relations. He received an A.B. (1990) in Government from the College of William and Mary, an M.S. (1997) in Mathematical Methods in the Social Sciences from Northwestern University, and a Ph.D. (2001) in Political Science from Indiana University. Before joining the faculty at the University of Texas at Dallas, he held positions at the University of North Texas, Indiana University, and as a fellow at the Harvard-MIT Data Center. John T. Williams was Professor and Chair of the Department of Political Science at University of California, Riverside. He taught time series analysis at the Inter-university Consortium for Political and Social Research Summer Training Program for over ten years. His work uses statistical methods in the study of political economy and public policy. He co-authored two books: Compound Dilemmas: Democracy, Collective Action, and Superpower Rivalry (University of Michigan Press, 2001) and Public Policy Analysis: A Political Economy Approach (Houghton Mifflin, 2000). He published over twenty journal articles and book chapters on a wide range of topics, ranging from macroeconomic policy to defense spending to forest resource management. He was a leader in the application of new methods of statistical analysis to political science, especially the use of vector autoregression (VAR), Bayesian, and event count time series models. He received a B.A. (1979), an M.A. (1981) from North Texas State University, and a Ph.D. (1987) from the University of Minnesota. Before moving to Riverside in 2001, he held academic positions at the University of Illinois Chicago (1985-1990) and at Indiana University, Bloomington (1990-2001).

Table of Contents

List of Figures List of Tables Series Editor?s Introduction Preface 1. Introduction to Multiple Time Series Models 1.1 Simultaneous Equation Approach 1.2 ARIMA Approach 1.3 Error Correction or LSE Approach 1.4 Vector Autoregression Approach 1.5 Comparison and Summary 2. Basic Vector Autoregression Models 2.1 Dynamic Structural Equation Models 2.2 Reduced Form Vector Autoregressions 2.3 Relationship of a Dynamic Structural Equation Model to a Vector Autoregression Model 2.4 Working With This Model 2.5 Specification and Analysis of VAR Models 2.6 Other Specification Issues 2.7 Unit Roots and Error Correction in VARs 2.8 Criticisms of VAR 3. Examples of VAR Analyses 3.1 Public Mood and Macropartisanship 3.2 Effective Corporate Tax Rates 3.3 Conclusion Appendix: Software for Multiple Time Series Models Notes References Index About the Authors

Additional information

NLS9781412906562
9781412906562
1412906563
Multiple Time Series Models by Patrick T. Brandt
Patrick T. Brandt
Quantitative Applications in the Social Sciences
New
Paperback
SAGE Publications Inc
2006-11-02
120
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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