Umfang:
1 Online-Ressource (xv, 668 pages)
,
digital, PDF file(s)
ISBN:
9780511628597
Serie:
Themes in modern econometrics
Originaltitel:
Séries temporelles et modèles dynamiques
Inhalt:
In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of economics, one of its most attractive features is the close attention it pays to economic models and phenomena throughout. The coverage represents a major reference tool for graduate students, researchers and applied economists. The book is divided into four sections. Section one gives a detailed treatment of classical seasonal adjustment or smoothing methods. Section two provides a thorough coverage of various mathematical tools. Section three is the heart of the book, and is devoted to a range of important topics including causality, exogeneity shocks, multipliers, cointegration and fractionally integrated models. The final section describes the main contribution of filtering and smoothing theory to time series econometric problems
Inhalt:
Ch. 1. Introduction -- Ch. 2. Linear Regression for Seasonal Adjustment -- Ch. 3. Moving Averages for Seasonal Adjustment -- Ch. 4. Exponential Smoothing Methods -- Ch. 5. Some Results on the Univariate Processes -- Ch. 6. The Box and Jenkins Method for Forecasting -- Ch. 7. Multivariate Time Series -- Ch. 8. Time-series Representations -- Ch. 9. Estimation and Testing (Stationary Case) -- Ch. 10. Causality, Exogeneity, and Shocks -- Ch. 11. Trend Components -- Ch. 12. Expectations -- Ch. 13. Specification Analysis -- Ch. 14. Statistical Properties of Nonstationary Processes -- Ch. 15. State-space Models and the Kalman Filter -- Ch. 16. Applications of the State-space Model
Anmerkung:
Title from publisher's bibliographic system (viewed on 05 Oct 2015)
Weitere Ausg.:
ISBN 9780521411462
Weitere Ausg.:
ISBN 9780521423083
Weitere Ausg.:
Erscheint auch als Druck-Ausgabe ISBN 9780521411462
Sprache:
Englisch
DOI:
10.1017/CBO9780511628597
URL:
Volltext
(lizenzpflichtig)
URL:
Volltext
(lizenzpflichtig)
