Problems of Time Series Analysis - Couverture rigide

Nerlove

Couverture rigide

ISBN 10 : 341101587X ISBN 13 : 9783411015870

Editeur : Bibliographisches Institut & FA Brockhaus AG, 1980

Synopsis

The last decade has witnessed an increased interest in time series ysis. Non-parametric methods like spectral and cross spectral ysis are used to discover regularities in individual time series, re­ lationships between specific components of different time series and leads or lags between those series. Box-Jenkins procedures for the pa­ rametric estimation of autoregressive-moving average schemes be­ long nowadays to the standard equipment of a computer center. In economics this revival of time series ysis has led to numer­ ous empirical studies on optimal seasonal adjustment procedures, the behavior of prices, production, employment etc. More recently, Box­ Jenkins methods form an integral part for tests on the efficiency of markets, the effectiveness of monetary and fiscal policies and for the study of the röle of different assumptions on the formation of expec­ tations. This volume comprehends aseries of lectures which deal with var­ ious topics of time series ysis delivered during the wintersemester 1978/79 at the faty of economics and statistics. The collection be­ gins with a paper by M. Nerlove introducing the concept of unob­ served components. Theoretical results are illustrated by examples se ries on prices of steers, heifers, cows and milk, of cattle and for time hog slaughter, of industrial production and male unemployment. The study by S. Heiler considers a mixed model with a linear regression part and a regular residual process for the prediction of economic processes when additional information is available.

Détails de l'édition

• Éditeur: Bibliographisches Institut & FA Brockhaus AG
• Date d'édition: 1980
• Langue: anglais
• ISBN 10: 341101587X
• ISBN 13: 9783411015870
• Reliure: Relié
• Nombre de pages: 104
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible