Univariate Tests for Time Series Models

by Jeff B. Cromwell, Walter C. Labys

Taking a sequential approach to time-series model building, this easy-to-use and widely applicable book explores how to test for stationarity, normality, independence, linearity, model order, and properties of the residual process. The authors clearly define each testing procedure and offer examples to illustrate each concept. They also offer sound advice on how to perform the tests using different software packages.

104 pages, Paperback

First published December 14, 1993

About the author

Jeff B. Cromwell has a PhD in Natural Resource Economics from West Virginia University and writes books in mathematics, computer science, music, science, science fiction, romance and fantasy. He is an accomplished author and software engineer with appointments at several universities and consulting for several financial and academic research departments and institutes. He has written for magazines as a columnist and contributed articles to books and journals. Along with fluency in several computer languages, Jeff speaks and can write in Mandarin and Japanese as well as play the clarinet and piano. This site shares his love of literature and reading that first started with a dictionary, a collection of encyclopedia volumes and a Timex-Sinclair computer in his youth. Enjoy the day.