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Abstract An approach to the modeling and analysis of multiple time series is proposed. Properties of a class of vector autoregressive moving average models are discussed. Modeling procedures consisting of tentative specification, estimation, and diagnostic checking are outlined and illustrated by three real examples. Key Words: Multiple time seriesVector autoregressive moving average modelsCross-correlationsPartial autoregressionIntervention analysisTransfer function
Tiao et al. (Tue,) studied this question.
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