You are here

Time Series Analysis
Share

Time Series Analysis
Regression Techniques



January 1990 | 96 pages | SAGE Publications, Inc

"The text gives a good basis for understanding the ideas of the time series models and estimation, without overwhelming readers with the complexity of the subject."

--Journal of the American Statistical Association

Completely revised and updated, this second edition of Time Series Analysis examines techniques for the study of change based on regression analysis. Ostrom demonstrates how these regression techniques may be employed for hypothesis testing, estimating, and forecasting. In addition, analysis strategies for both lagged and nonlagged models are presented and alternative time-dependent processes are explored.


Learn more about "The Little Green Book" - QASS Series! Click Here


 
Introduction
 
Time Series Regression Analysis
Nonlagged Case

 
 
A Ratio Goal Hypothesis
 
The Error Term
 
Time Series Regression Model
 
Nonautoregression Assumption
 
Consequences of Violating the Nonautoregression Assumption
 
Conventional Tests for Autocorrelation
 
An Alternative Method of Estimation
 
EGLS Estimation (First-Order Autocorrelation)
 
Small Sample Properties
 
The Ratio Goal Hypothesis Reconsidered
 
Extension to Multiple Regression
 
Conclusion
 
Alternative Time-Dependent Processes
 
Alternative Processes
 
Testing for Higher Order Processes
 
Process Identification
 
Estimation
 
Example
Estimation of Models with Errors Generated by Alternative Time Dependent Processes

 
 
Example
Ratio Goal Model Reconsidered

 
 
Conclusion
 
Time Series Regression Analysis
Lagged Case

 
 
Distributed Lag Models
 
Lagged Endogenous Variables
 
Testing for Autocorrelation in Models with Lagged Endogenous Variables
 
Estimation
 
EGLA Estimation
 
Example
 
A Revised Ratio Goal Model
 
Interpreting Distributed Lag Models
 
Conclusion
 
Forecasting
 
Forecast Error
 
Forecast Generation
 
Modifying the Forecast Equation
 
Forecast Evaluation
 
Example
 
Conclusion
 
Summary

Preview this book

For instructors

To inquire about the availability of this title for review (print and/or digital), please contact your local sales representative or call (800) 818-7243.

Select a Purchasing Option

ISBN: 9780803931350
$22.00

This title is also available on SAGE Knowledge, the ultimate social sciences online library. If your library doesn’t have access, ask your librarian to start a trial.