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

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Chapter 4: Regression Models for Differenced Series

Introduction

Regression Model for the Differenced Series

Regression Results

Inclusion of the Lagged Independent Variable

Reverted Regression

Inclusion of the Lagged Independent Variable in the Model

Two Lags of the Independent Variables

Inclusion of the Lagged Dependent Variable in the Regression

How to Interpret a Model with a Lagged Dependent Variable

Conclusions about the Models in Chapters 2, 3, and 4

Introduction

In Chapters 2 and 3, the original series of the milk production is modeled with the use of the original series of the number of cows as the independent variable. In Chapter 5, tests for stationarity of these series of changes from one quarter to the next quarter are discussed. ...

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