Modelling Economic Series

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Modelling Economic Series

Clive William John Granger
Modelling Economic Series Book PDF

Author : Clive William John Granger
Publisher : Oxford University Press
Page : 428 pages
File Size : 54,6 Mb
Release : 1990
Category : Business & Economics
ISBN : 0198287364

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Modelling Economic Series by Clive William John Granger Pdf

This is a volume of readings for graduate students, especially those taking courses in applied econometrics, who need to learn how to evaluate the validity of present theories and techniques. The aim of the text is to aid readers in the difficult task of actually constructing models. The essays vary in the degree of technical sophistication used, but each paper intends to provide students with a sound knowledge of the practical difficulties of model specification, evaluation and interpretation, as well as advice on tackling these difficulties.

Modelling Trends and Cycles in Economic Time Series

T. Mills
Modelling Trends and Cycles in Economic Time Series Book PDF

Author : T. Mills
Publisher : Springer
Page : 178 pages
File Size : 55,8 Mb
Release : 2003-05-15
Category : Business & Economics
ISBN : 9780230595521

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Modelling Trends and Cycles in Economic Time Series by T. 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. Terence Mills introduces these various approaches to allow students and researchers to appreciate the variety of techniques and the considerations that underpin their choice for modelling trends and cycles.

Modelling Trends and Cycles in Economic Time Series

Terence C. Mills
Modelling Trends and Cycles in Economic Time Series Book PDF

Author : Terence C. Mills
Publisher : Springer Nature
Page : 219 pages
File Size : 41,7 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.

Time Series Models for Business and Economic Forecasting

Philip Hans Franses
Time Series Models for Business and Economic Forecasting Book PDF

Author : Philip Hans Franses
Publisher : Cambridge University Press
Page : 300 pages
File Size : 50,7 Mb
Release : 1998-10-15
Category : Business & Economics
ISBN : 0521586410

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Time Series Models for Business and Economic Forecasting by Philip Hans Franses Pdf

An introduction to time series models for business and economic forecasting.

Modelling Financial Time Series

Stephen J. Taylor
Modelling Financial Time Series Book PDF

Author : Stephen J. Taylor
Publisher : World Scientific
Page : 297 pages
File Size : 55,6 Mb
Release : 2008
Category : Business & Economics
ISBN : 9789812770851

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Modelling Financial Time Series by Stephen J. Taylor Pdf

This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Sample Chapter(s). Chapter 1: Introduction (1,134 KB). Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series. Readership: Academic researchers in finance & economics; quantitative analysts.

The Econometric Modelling of Financial Time Series

Terence C. Mills
The Econometric Modelling of Financial Time Series Book PDF

Author : Terence C. Mills
Publisher : Cambridge University Press
Page : 386 pages
File Size : 52,5 Mb
Release : 1999-08-26
Category : Business & Economics
ISBN : 0521624924

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The Econometric Modelling of Financial Time Series by Terence C. Mills Pdf

Provides detailed coverage of the models currently being used in the empirical analysis of financial markets. Copyright © Libri GmbH. All rights reserved.

The Econometric Modelling of Financial Time Series

Terence C. Mills
The Econometric Modelling of Financial Time Series Book PDF

Author : Terence C. Mills
Publisher : Cambridge University Press
Page : 255 pages
File Size : 53,7 Mb
Release : 1995-04-20
Category : Business & Economics
ISBN : 0521422574

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The Econometric Modelling of Financial Time Series by Terence C. Mills Pdf

This book provides detailed coverage of the variety of models that are currently being used in the empirical analysis of financial markets. Covering bond equity and foreign exchange markets, it is aimed at scholars and practitioners wishing to acquire an understanding of the latest research techniques and findings in the field, and also at graduate students wishing to research in financial markets. The book is divided into two main sections, covering univariate models, and econometric and multivariate techniques respectively. In the former, the areas covered include linear and non-linear stochastic models, random walk, unit root tests, GARCH models, deterministic chaos, trend reversion, and bubbles. In the latter, regression models, time varying parameter models, the Kalman filter, vector autoregressions, present value models, and cointegration are discussed.

Time Series Analysis and Macroeconometric Modelling

Kenneth Frank Wallis
Time Series Analysis and Macroeconometric Modelling Book PDF

Author : Kenneth Frank Wallis
Publisher : Edward Elgar Publishing
Page : 462 pages
File Size : 54,6 Mb
Release : 1995-01-01
Category : Business & Economics
ISBN : 1782541624

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Time Series Analysis and Macroeconometric Modelling by Kenneth Frank Wallis Pdf

'An excellent reference volume of this author's work, bringing together articles published over a 25 year span on the statistical analysis of economic time series, large scale macroeconomic modelling and the interface between them.' - Aslib Book Guide This major volume of essays by Kenneth F. Wallis features 28 articles published over a quarter of a century on the statistical analysis of economic time series, large-scale macroeconometric modelling, and the interface between them. The first part deals with time-series econometrics and includes significant early contributions to the development of the LSE tradition in time-series econometrics, which is the dominant British tradition and has considerable influence worldwide. Later sections discuss theoretical and practical issues in modelling seasonality and forecasting with applications in both large-scale and small-scale models. The final section summarizes the research programme of the ESRC Macroeconomic Modelling Bureau, a unique comparison project among economy-wide macroeconometric models.

Econometric Models and Economic Forecasts

Robert S. Pindyck,Daniel L. Rubinfeld
Econometric Models and Economic Forecasts Book PDF

Author : Robert S. Pindyck,Daniel L. Rubinfeld
Publisher : Unknown
Page : 664 pages
File Size : 43,9 Mb
Release : 1998
Category : Business & Economics
ISBN : UOM:39015052553446

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Econometric Models and Economic Forecasts by Robert S. Pindyck,Daniel L. Rubinfeld Pdf

This updated edition of the text has been restructured into four parts: multiple regression model; single-equation regression models; revised exposition and a small macroeconomic model; and a revised treatment of time-series analysis.

Time Series Models for Business and Economic Forecasting

Philip Hans Franses
Time Series Models for Business and Economic Forecasting Book PDF

Author : Philip Hans Franses
Publisher : Cambridge University Press
Page : 296 pages
File Size : 55,6 Mb
Release : 1998-10-15
Category : Business & Economics
ISBN : 0521584043

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Time Series Models for Business and Economic Forecasting by Philip Hans Franses Pdf

Time Series Models for Business and Economic Forecasting is the most up-to-date and accessible guide to one of the fastest growing areas in business and economic analysis. The author is regarded as one of the most accomplished econometricians in Europe and this book is based on his highly successful lecture program for multidisciplinary, graduate and upper level undergraduate students. Early chapters of the book focus on the typical features of time series data in business and economics. Later chapters are concerned with the discussion of some important concepts in time series analysis, the techniques that can be readily applied in practice, different modeling methods and model structures, multivariate time, and the common aspects across time series.

Economic Time Series

William R. Bell,Scott H. Holan,Tucker S. McElroy
Economic Time Series Book PDF

Author : William R. Bell,Scott H. Holan,Tucker S. McElroy
Publisher : CRC Press
Page : 554 pages
File Size : 50,5 Mb
Release : 2012-03-19
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 series modeling and seasonal adjustment, as is reflected both in the contents of the chapters and in their authorship, with contributors coming from academia and government statistical agencies. For easier perusal and absorption, the contents have been grouped into seven topical sections: Section I deals with periodic modeling of time series, introducing, applying, and comparing various seasonally periodic models Section II examines the estimation of time series components when models for series are misspecified in some sense, and the broader implications this has for seasonal adjustment and business cycle estimation Section III examines the quantification of error in X-11 seasonal adjustments, with comparisons to error in model-based seasonal adjustments Section IV discusses some practical problems that arise in seasonal adjustment: developing asymmetric trend-cycle filters, dealing with both temporal and contemporaneous benchmark constraints, detecting trading-day effects in monthly and quarterly time series, and using diagnostics in conjunction with model-based seasonal adjustment Section V explores outlier detection and the modeling of time series containing extreme values, developing new procedures and extending previous work Section VI examines some alternative models and inference procedures for analysis of seasonal economic time series Section VII deals with aspects of modeling, estimation, and forecasting for nonseasonal economic time series By presenting new methodological developments as well as pertinent empirical analyses and reviews of established methods, the book provides much that is stimulating and practically useful for the serious researcher and analyst of economic time series.

Introduction to Estimating Economic Models

Atsushi Maki
Introduction to Estimating Economic Models Book PDF

Author : Atsushi Maki
Publisher : Routledge
Page : 190 pages
File Size : 51,7 Mb
Release : 2010-12-14
Category : Business & Economics
ISBN : 9781136885013

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Introduction to Estimating Economic Models by Atsushi Maki Pdf

The book's comprehensive coverage on the application of econometric methods to empirical analysis of economic issues is impressive. It uncovers the missing link between textbooks on economic theory and econometrics and highlights the powerful connection between economic theory and empirical analysis perfectly through examples on rigorous experimental design. The use of data sets for estimation derived with the Monte Carlo method helps facilitate the understanding of the role of hypothesis testing applied to economic models. Topics covered in the book are: consumer behavior, producer behavior, market equilibrium, macroeconomic models, qualitative-response models, panel data analysis and time-series analysis. Key econometric models are introduced, specified, estimated and evaluated. The treatment on methods of estimation in econometrics and the discipline of hypothesis testing makes it a must-have for graduate students of economics and econometrics and aids their understanding on how to estimate economic models and evaluate the results in terms of policy implications.

Regional Econometric Modeling

M. Ray Perryman,James R. Schmidt
Regional Econometric Modeling Book PDF

Author : M. Ray Perryman,James R. Schmidt
Publisher : Springer Science & Business Media
Page : 263 pages
File Size : 42,6 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9789400932678

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Regional Econometric Modeling by M. Ray Perryman,James R. Schmidt Pdf

This book is the first volume of the International Series in Economic Model ing, a series designed to summarize current issues and procedures in applied modeling within various fields of economics and to offer new or alternative approaches to prevailing problems. In selecting the subject area for the first volume, we were attracted by the area to which applied modeling efforts are increasingly being drawn, regional economics and its associated subfields. Applied modeling is a broad rubric even when the focus is restricted to econometric modeling issues. Regional econometric modeling has posted a record of rapid growth during the last two decades and has become an established field of research and application. Econometric models of states and large urban areas have become commonplace, but the existence of such models does not signal an end to further development of regional econ ometric methods and models. Many issues such as structural specification, level of geographic detail, data constraints, forecasting integrity, and syn thesis with other regional modeling techniques will continue to be sources of concern and will prompt further research efforts. The chapters of this volume reflect many of these issues. A brief synopsis of each contribution is provided below: Richard Weber offers an overview of regional econometric models by discussing theoretical specification, nature of variables, and ultimate useful ness of such models. For an illustration, Weber describes the specification of the econometric model of New Jersey.

Modelling Non-Stationary Economic Time Series

S. Burke,J. Hunter
Modelling Non Stationary Economic Time Series Book PDF

Author : S. Burke,J. Hunter
Publisher : Springer
Page : 253 pages
File Size : 49,7 Mb
Release : 2005-06-14
Category : Business & Economics
ISBN : 9780230005785

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Modelling Non-Stationary Economic Time Series by S. Burke,J. Hunter Pdf

Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems. This book provides direction and guidance to the now vast literature facing students and graduate economists. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural breaks associated with regime changes and what to do when variables are of different orders of integration.

The Econometric Modelling of Financial Time Series

Terence C. Mills,Raphael N. Markellos
The Econometric Modelling of Financial Time Series Book PDF

Author : Terence C. Mills,Raphael N. Markellos
Publisher : Cambridge University Press
Page : 411 pages
File Size : 50,9 Mb
Release : 2008-03-20
Category : Business & Economics
ISBN : 9781139470810

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The Econometric Modelling of Financial Time Series by Terence C. Mills,Raphael N. Markellos Pdf

Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.