Analysis Of Economic Time Series

Author : Marc Nerlove,David M. Grether,José L. Carvalho
Publisher : Academic Press
Page : 495 pages
File Size : 54,7 Mb
Release : 2014-05-10
Category : Business & Economics
ISBN : 9781483218885

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Analysis of Economic Time Series by Marc Nerlove,David M. Grether,José L. Carvalho Pdf

Analysis of Economic Time Series: A Synthesis integrates several topics in economic time-series analysis, including the formulation and estimation of distributed-lag models of dynamic economic behavior; the application of spectral analysis in the study of the behavior of economic time series; and unobserved-components models for economic time series and the closely related problem of seasonal adjustment. Comprised of 14 chapters, this volume begins with a historical background on the use of unobserved components in the analysis of economic time series, followed by an Introduction to the theory of stationary time series. Subsequent chapters focus on the spectral representation and its estimation; formulation of distributed-lag models; elements of the theory of prediction and extraction; and formulation of unobserved-components models and canonical forms. Seasonal adjustment techniques and multivariate mixed moving-average autoregressive time-series models are also considered. Finally, a time-series model of the U.S. cattle industry is presented. This monograph will be of value to mathematicians, economists, and those interested in economic theory, econometrics, and mathematical economics.

Author : Harold Thayer Davis
Publisher : Unknown
Page : 620 pages
File Size : 51,5 Mb
Release : 1973
Category : Economics, Mathematical
ISBN : OCLC:221914428

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The Analysis of Economic Time Series by Harold Thayer Davis Pdf

Author : William R. Bell,Scott H. Holan,Tucker S. McElroy
Publisher : CRC Press
Page : 544 pages
File Size : 51,6 Mb
Release : 2018-11-14
Category : Mathematics
ISBN : 9781439846582

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Economic Time Series by William R. Bell,Scott H. Holan,Tucker S. McElroy Pdf

Economic Time Series: Modeling and Seasonality is a focused resource on analysis of economic time series as pertains to modeling and seasonality, presenting cutting-edge research that would otherwise be scattered throughout diverse peer-reviewed journals. This compilation of 21 chapters showcases the cross-fertilization between the fields of time s

Author : Terence C. Mills
Publisher : Cambridge University Press
Page : 392 pages
File Size : 51,6 Mb
Release : 1990
Category : Business & Economics
ISBN : 0521405742

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Time Series Techniques for Economists by Terence C. Mills Pdf

The application of time series techniques in economics has become increasingly important, both for forecasting purposes and in the empirical analysis of time series in general. In this book, Terence Mills not only brings together recent research at the frontiers of the subject, but also analyses the areas of most importance to applied economics. It is an up-to-date text which extends the basic techniques of analysis to cover the development of methods that can be used to analyse a wide range of economic problems. The book analyses three basic areas of time series analysis: univariate models, multivariate models, and non-linear models. In each case the basic theory is outlined and then extended to cover recent developments. Particular emphasis is placed on applications of the theory to important areas of applied economics and on the computer software and programs needed to implement the techniques. This book clearly distinguishes itself from its competitors by emphasising the techniques of time series modelling rather than technical aspects such as estimation, and by the breadth of the models considered. It features many detailed real-world examples using a wide range of actual time series. It will be useful to econometricians and specialists in forecasting and finance and accessible to most practitioners in economics and the allied professions.

Author : Tomas Cipra
Publisher : Springer Nature
Page : 409 pages
File Size : 43,8 Mb
Release : 2020-08-31
Category : Business & Economics
ISBN : 9783030463472

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Time Series in Economics and Finance by Tomas Cipra Pdf

This book presents the principles and methods for the practical analysis and prediction of economic and financial time series. It covers decomposition methods, autocorrelation methods for univariate time series, volatility and duration modeling for financial time series, and multivariate time series methods, such as cointegration and recursive state space modeling. It also includes numerous practical examples to demonstrate the theory using real-world data, as well as exercises at the end of each chapter to aid understanding. This book serves as a reference text for researchers, students and practitioners interested in time series, and can also be used for university courses on econometrics or computational finance.

Author : Clive William John Granger,Michio Hatanaka
Publisher : Princeton University Press
Page : 318 pages
File Size : 53,6 Mb
Release : 2015-12-08
Category : Business & Economics
ISBN : 9781400875528

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Spectral Analysis of Economic Time Series. (PSME-1) by Clive William John Granger,Michio Hatanaka Pdf

The important data of economics are in the form of time series; therefore, the statistical methods used will have to be those designed for time series data. New methods for analyzing series containing no trends have been developed by communication engineering, and much recent research has been devoted to adapting and extending these methods so that they will be suitable for use with economic series. This book presents the important results of this research and further advances the application of the recently developed Theory of Spectra to economics. In particular, Professor Hatanaka demonstrates the new technique in treating two problems-business cycle indicators, and the acceleration principle existing in department store data. Originally published in 1964. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.

Author : C. W. J. Granger,Paul Newbold
Publisher : Academic Press
Page : 353 pages
File Size : 55,7 Mb
Release : 2014-05-10
Category : Business & Economics
ISBN : 9781483273242

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Forecasting Economic Time Series by C. W. J. Granger,Paul Newbold Pdf

Economic Theory, Econometrics, and Mathematical Economics, Second Edition: Forecasting Economic Time Series presents the developments in time series analysis and forecasting theory and practice. This book discusses the application of time series procedures in mainstream economic theory and econometric model building. Organized into 10 chapters, this edition begins with an overview of the problem of dealing with time series possessing a deterministic seasonal component. This text then provides a description of time series in terms of models known as the time-domain approach. Other chapters consider an alternative approach, known as spectral or frequency-domain analysis, that often provides useful insights into the properties of a series. This book discusses as well a unified approach to the fitting of linear models to a given time series. The final chapter deals with the main advantage of having a Gaussian series wherein the optimal single series, least-squares forecast will be a linear forecast. This book is a valuable resource for economists.

Author : Michael Clements,David F. Hendry
Publisher : Cambridge University Press
Page : 402 pages
File Size : 54,9 Mb
Release : 1998-10-08
Category : Business & Economics
ISBN : 0521634806

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Forecasting Economic Time Series by Michael Clements,David F. Hendry Pdf

This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a non-constant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted.

Author : Clive William John Granger,Paul Newbold
Publisher : Unknown
Page : 528 pages
File Size : 54,6 Mb
Release : 1977
Category : Business & Economics
ISBN : STANFORD:36105002640683

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Forecasting Economic Time Series by Clive William John Granger,Paul Newbold Pdf

This book has been updated to reflect developments in time series analysis and forecasting theory and practice, particularly as applied to economics. The second edition pays attention to such problems as how to evaluate and compare forecasts.

Author : Philip Rothman
Publisher : Springer Science & Business Media
Page : 379 pages
File Size : 41,7 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461551294

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Nonlinear Time Series Analysis of Economic and Financial Data by Philip Rothman Pdf

Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.

Author : Harold Thayer Davis
Publisher : Unknown
Page : 648 pages
File Size : 55,6 Mb
Release : 1941
Category : Economics, Mathematical
ISBN : UOM:39015015205720

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The Analysis of Economic Time Series by Harold Thayer Davis Pdf

Author : Klaus Neusser
Publisher : Springer
Page : 421 pages
File Size : 44,8 Mb
Release : 2016-06-14
Category : Business & Economics
ISBN : 9783319328621

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Time Series Econometrics by Klaus Neusser Pdf

This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students.

Author : Gebhard Kirchgässner,Jürgen Wolters,Uwe Hassler
Publisher : Springer Science & Business Media
Page : 326 pages
File Size : 44,5 Mb
Release : 2012-10-09
Category : Business & Economics
ISBN : 9783642334351

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Introduction to Modern Time Series Analysis by Gebhard Kirchgässner,Jürgen Wolters,Uwe Hassler Pdf

This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.

Author : Masanao Aoki
Publisher : Springer Science & Business Media
Page : 262 pages
File Size : 51,6 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9783642455650

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Notes on Economic Time Series Analysis: System Theoretic Perspectives by Masanao Aoki Pdf

In seminars and graduate level courses I have had several opportunities to discuss modeling and analysis of time series with economists and economic graduate students during the past several years. These experiences made me aware of a gap between what economic graduate students are taught about vector-valued time series and what is available in recent system literature. Wishing to fill or narrow the gap that I suspect is more widely spread than my personal experiences indicate, I have written these notes to augment and reor ganize materials I have given in these courses and seminars. I have endeavored to present, in as much a self-contained way as practicable, a body of results and techniques in system theory that I judge to be relevant and useful to economists interested in using time series in their research. I have essentially acted as an intermediary and interpreter of system theoretic results and perspectives in time series by filtering out non-essential details, and presenting coherent accounts of what I deem to be important but not readily available, or accessible to economists. For this reason I have excluded from the notes many results on various estimation methods or their statistical properties because they are amply discussed in many standard texts on time series or on statistics.

Author : Terence C. Mills
Publisher : Springer Nature
Page : 219 pages
File Size : 47,7 Mb
Release : 2021-07-29
Category : Business & Economics
ISBN : 9783030763596

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Modelling Trends and Cycles in Economic Time Series by Terence C. Mills Pdf

Modelling trends and cycles in economic time series has a long history, with the use of linear trends and moving averages forming the basic tool kit of economists until the 1970s. Several developments in econometrics then led to an overhaul of the techniques used to extract trends and cycles from time series. In this second edition, Terence Mills expands on the research in the area of trends and cycles over the last (almost) two decades, to highlight to students and researchers the variety of techniques and the considerations that underpin their choice for modelling trends and cycles.