About This Book
Purpose
The purpose of this book is to show how broadly the VARMAX procedure supports modern time series econometrics. The VARMAX procedure includes modern facilities like automatic model selection and GARCH models for univariate series. But the main focus is on multivariate time series, for which automatic VARMA model selection and GARCH are of course supported. Moreover, BVAR models, together with subjects like Granger Causality and cointegration, are supported. All these featured are illustrated mainly by examples using real data.
Is This Book for You?
This book is useful for readers who are analyzing a time series for the first time. They will find PROC VARMAX easy to use. But PROC VARMAX also includes many advanced features; ...
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