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Multiple Time Series Modeling Using the SAS VARMAX Procedure by Anders Milhoj

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Chapter 1: Introduction

Introduction

Ordinary Regression Models

Regression Models in Time Series Analysis

Time Series Models

Which Time Series Features to Model

Parameterized Models for Time Series

Introduction

This chapter outlines the intentions of this book. First, it briefly describes the special problems that emerge when time series data has to be analyzed by means of regression models, as compared with applications of regression models in simpler situations. Explained next are the extra features that are necessary for performing regressions analysis on multivariate time series.

Ordinary Regression Models

The subject of regression models is included in most introductory statistical courses. The basic formulation using just a single right-hand ...

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