Time Series and Dynamic Models

Zusammenfassung This is the first fully comprehensive textbook to integrate traditional and modern time series econometric modelling. The mathematical rigour of the book is high but excessive technicalities have been avoided. The coverage represents a major reference tool for graduate students! researchers and applied economists. Inhaltsverzeichnis Preface; 1. Introduction; Part I. Traditional Methods: 2. Linear regression for seasonal adjustment; 3. Moving averages for seasonal adjustment; 4. Exponential smoothing methods; Part II. Probabilistic and Statistical Properties of Stationary Processes: 5. Some results on the univariate processes; 6. The Box and Jenkins method for forecasting; 7. Multivariate time series; 8. Time-series representations; 9. Estimation and testing (stationary case); Part III. Time-series Econometrics: Stationary and Nonstationary Models: 10. Causality, exogeneity, and shocks; 11. Trend components; 12. Expectations; 13. Specification analysis; 14. Statistical properties of nonstationary processes; Part IV. State-space Models: 15. State-space models and the Kalman filter; 16. Applications of the state-space model; References; Tables; Index.

Product details

• Authors: Gourieroux Christian, C. Gourieroux, Christian Gourieroux, Christian Monfort Gourieroux, Alain Monfort
• Assisted by: Giampiero Gallo (Translation)
• Publisher: Cambridge University Press ELT
• Languages: English
• Product format: Hardback
• Released: 13.01.1996
• EAN: 9780521411462
• ISBN: 978-0-521-41146-2
• No. of pages: 688
• Series: Themes in Modern Econometrics
• Subjects: Guides > Law, job, finance; Social sciences, law, business > Business > Economics