Electronic Resource
Oxford, UK
:
Blackwell Publishing Ltd
Decision sciences
8 (1977), S. 0
ISSN:
1540-5915
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Economics
Notes:
Box and Jenkins [3] have specified a procedure for the development of a “transfer function model,” a model which expresses the interrelationships between two time series. Involving the iterative repetition of identification, estimation, and checking stages, this procedure is comparable to their procedure for the development of an autoregressive-intergrated-moving average model for a single time series. The transfer function model development procedure has not been widely applied due to the absence of explanations understandable to the non-statistician and reasonably priced computer algorithms.The intent of this paper is to provide the non-statistician with an explanation of the identification stage of the Box-Jenkins transfer function model development procedure. An extensive class of possible models is logically developed. The identification stage is specified step-by-step and is illustrated by three pairs of generated time series analyzed using computer algorithms written by the author. The paper presumes a general knowledge of the Box-Jenkins identification procedure for single series models.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/j.1540-5915.1977.tb01090.x
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