STATE SPACE REPRESENTATION OF ECONOMIC TIME SERIES: State-Space Modeling - Couverture souple

Vargas-Vargas, Manuel

 
9783639188486: STATE SPACE REPRESENTATION OF ECONOMIC TIME SERIES: State-Space Modeling
Couverture souple
ISBN 10 : 3639188489 ISBN 13 : 9783639188486
Editeur : VDM Verlag, 2009

Synopsis

Cointegration relationships or common trends detection has been undertaken mainly by VARMA representation of stochastic processes, while the specialized literature has paid less attention to the state-space modeling, although it presents computationals and analytical advantages that justify its study. This paper will focus on the state-space analysis of nonstationarity series. The justification of the method and its algorithms will be exposed and an alternative approach to the classical Johansen or Beveridge and Nelson methods is proposed.

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Éditeur
VDM Verlag
Date d'édition
2009
Langue
anglais
ISBN 10 
3639188489
ISBN 13 
9783639188486
Reliure
Broché
Nombre de pages
172
Coordonnées du fabricant
non disponible
Personne responsable
non disponible