Analysis of Economic Time Series: A Synthesis - Couverture rigide

Couverture rigide

ISBN 10 : 0125157509 ISBN 13 : 9780125157506

Editeur : Academic Press Inc, 1979

Synopsis

In this edition Nerlove and his co-authors illustrate techniques of spectral analysis and methods based on parametric models in the analysis of economic time series. The book provides a means and a method for incorporating economic intuition and theory in the formulation of time-series models.

A propos du livre

Book Description

In this edition which has been reprinted with corrections, Nerlove and his co-authors illustrate techniques of spectral analysis and methods based on parametric models in the analysis of economic time series. The book provides a means and a method for incorporating economic intuition and theory in the formulation of time-series models useful in forecasting, in the formulation and estimation of distributed lag models, and in other applications, such as seasonal adjustment. Analysis of Economic Time Series is a useful primary text for graduate students and an attractive reference for researchers.

Key Features
* Presents a self-contained treatment of Fourier Analysis and complex variables, as well as Spectral Analysis of time series
* Includes a detailed treatment of unobserved-components (UC) models and their time-series properties by means of covariance-generating transforms
* Provides the formulation and maximum-likelihood estimation of ARMA and UC models in both time and frequency domains
Integrates several topics in time-series analysis:
* The formulation and estimation of distributed-lag models of dynamic economic behavior
* The application of the techniques of spectral analysis in the study of behavior of economic time series
* Unobserved-components models for economic time series and the closely related problem of seasonal adjustment
* The complimentarities between time-domain and frequency-domain approaches to the analysis of economic time series
* Historical contributions extending from the time of Charles Babbage and the Edinburgh Review to the present
* Treats spectral analysis and Box-Jenkins models for an intuitive but rigorous point of view
* Shows how these two types of analysis may be synthesized so that they complement one another
* Describes a new type of model, based on a superposition of Box-Jenkins models, that captures the essential idea of the unobserved-components models long used in the analysis of economic time series
* Applies multiple time-series techniques to the estimation of a novel dynamic model of the US cattle industry

Back Cover Copy

In this updated edition, Nerlove and his co-authors illustrate techniques of spectral analysis and methods based on parametric models in the analysis of economic time series. The book provides a means and a method for incorporating economic intuition and theory in the formulation of time-series models that are useful in forecasting, in the formulation and estimation of distributed lag models, and in other applications, such as seasonal adjustment. Analysis of Economic Time Series will be a useful primary text for graduate students and an attractive reference for researchers.
Key Features
* Presents a self-contained treatment of Fourier analysis and complex variables, as well as spectral analysis of time series
* Includes a detailed treatment of unobserved-components (UC) models and their time-series properties by means of covariance-generating transforms
* Provides the formulation and maximum-likelihood estimation of ARMA and UC models in both time and frequency domains
* Integrates several topics in time-series analysis, including:
* The formulation and estimation of distributed-lag models of dynamic economic behavior
* The application of the techniques of spectral analysis in the study of behavior of economic time series
* Unobserved-components models for economic time series and the closely related problem of seasonal adjustment

Détails de l'édition

• Éditeur: Academic Press Inc
• Date d'édition: 1979
• Langue: anglais
• ISBN 10: 0125157509
• ISBN 13: 9780125157506
• Reliure: Relié
• Nombre de pages: 468
• Éditeur: Nerlove Marc, Etc.
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible