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

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Chapter 8: Models for Multivariate Time Series

Introduction

Multivariate Time Series

VARMAX Models

Infinite-Order Representations

Correlation Matrix at Lag 0

VARMAX Models

VARMAX Building in Practice

Conclusion

Introduction

In this chapter, you will learn the basic theory for multivariate time series. The purpose is to introduce the simplest theoretical model behind the many tools offered by the VARMAX procedure, because most of them are extensions or refinements of this basic model. The idea is not to give a thorough introduction to the theory, for this subject is far too extensive to include in a book that is specific to SAS. For more information about multivariate time series analysis, consult ordinary textbooks like Lütkepohl (1993) or others ...

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