Time Series Modelling using Proc Varmax
Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research
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 |
|---|---|
| Nummer | 29 |
| Land | Denmark |
| By | Aarhus Universitet. Institut for Økonomi |
| Periode | 30/01/2007 → 31/01/2007 |
ID: 2288607