Yick, Kwok Leung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 67-68). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- The importance of forecasting --- p.1 / Chapter 1.2 --- Objective --- p.3 / Chapter 2 --- Vector Autoregressive Model --- p.5 / Chapter 2.1 --- The VAR(p) model --- p.5 / Chapter 2.2 --- Least squares estimation method --- p.7 / Chapter 2.3 --- VAR order selection method --- p.10 / Chapter 2.4 --- Constructing simultaneous prediction intervals procedures --- p.11 / Chapter 2.4.1 --- Bonferroni procedure --- p.12 / Chapter 2.4.2 --- The 'Exact' procedure --- p.13 / Chapter 2.4.3 --- Two variables case --- p.15 / Chapter 2.4.4 --- Three variables case --- p.18 / Chapter 3 --- A System of Linear Equations with Exogenous Variables --- p.23 / Chapter 3.1 --- Restriction of VAR model --- p.23 / Chapter 3.2 --- Least squares estimation method --- p.24 / Chapter 3.3 --- Hsiao's sequential method for estimating the lag lengths --- p.26 / Chapter 3.3.1 --- Two variables case --- p.27 / Chapter 3.3.2 --- Three variables case --- p.29 / Chapter 3.4 --- Using VAR model to construct simultaneous prediction intervals --- p.32 / Chapter 3.4.1 --- Bonferroni procedure --- p.34 / Chapter 3.4.2 --- The 'Exact' procedure --- p.35 / Chapter 3.4.3 --- Two variables case --- p.36 / Chapter 3.4.4 --- Three variables case --- p.38 / Chapter 4 --- Illustrative Examples --- p.42 / Chapter 5 --- A Simulation Study --- p.52 / Chapter 5.1 --- Design of the experiment --- p.52 / Chapter 5.2 --- Simulation results --- p.58 / Chapter 5.3 --- Concluding remarks --- p.60 / Chapter 5.4 --- Further research --- p.60 / References --- p.67
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325946 |
| Date | January 2007 |
| Contributors | Yick, Kwok Leung., Chinese University of Hong Kong Graduate School. Division of Statistics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vii, 68 leaves ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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