MULTIVARIATE TIME SERIES ANALYSIS. BOX JENKINS METHODOLOGY. EXAMPLES AND EXERCISES WITH SAS

This book develops multivariate time series analysis using the Box-Jenkins methodology. It begins by discussing intervention analysis models derived from the presence of different types of outliers: AO, LS, TC, and IO. Transfer function models with continuous regressors are then studied. Multivariate ARIMA models are then studied according to the Box-Jenkins methodology, considering the VAR, VARMA, VBAR, PVAR, SBAR, and VARX models. Cointegration in VAR models and vector error correction models are also addressed. All concepts are illustrated with fully implemented examples and exercises using SAS software, which is well-suited for working with multivariate time series.