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In the text, methods covered include testing for joint stationarity, normality, independence, cointegration, and causality. There is also a section on the specification of multivariate linear models. Unfortunately, discussion of multivariate nonlinear models amounts primarily to literature references. Finally, there is a discussion of testing for model order and forecast accuracy. Overall, I found this to be a highly useful text.
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However, if you have a decent background in statistics and have had some model-building experience, this book provides a concise guide to the tests one typically uses when building time series models. The authors cover testing for stationarity, normality, independence, linear & nonlinear dependence, model order and testing the residual process, in addition to sections on the specification of linear & nonlinear models.
The authors do a very good job of including adequate text to explain the concepts that they are introducing, in the event something might be new to the reader. This is not a comprehensive text by any means, but it nicely covers the most common tests [certainly the ones I need for my work] and includes a list of references for those wishing to expand their area of knowledge.
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