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Author: Eric Ghysels Publisher: Cambridge University Press ISBN: 9780521565882 Category : Business & Economics Languages : en Pages : 258
Book Description
Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade of theoretical advances in the area. The authors discuss the asymptotic distribution theory for linear nonstationary seasonal stochastic processes. They also cover the latest contributions to the theory and practice of seasonal adjustment, together with its implications for estimation and hypothesis testing. Moreover, a comprehensive analysis of periodic models is provided, including stationary and nonstationary cases. The book concludes with a discussion of some nonlinear seasonal and periodic models. The treatment is designed for an audience of researchers and advanced graduate students.
Author: Eric Ghysels Publisher: Cambridge University Press ISBN: 9780521565882 Category : Business & Economics Languages : en Pages : 258
Book Description
Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade of theoretical advances in the area. The authors discuss the asymptotic distribution theory for linear nonstationary seasonal stochastic processes. They also cover the latest contributions to the theory and practice of seasonal adjustment, together with its implications for estimation and hypothesis testing. Moreover, a comprehensive analysis of periodic models is provided, including stationary and nonstationary cases. The book concludes with a discussion of some nonlinear seasonal and periodic models. The treatment is designed for an audience of researchers and advanced graduate students.
Author: Eric Ghysels Publisher: Cambridge University Press ISBN: 9780521562607 Category : Business & Economics Languages : en Pages : 252
Book Description
Economic and financial time series feature important seasonal fluctuations. Despite their regular and predictable patterns over the year, month or week, they pose many challenges to economists and econometricians. This book provides a thorough review of the recent developments in the econometric analysis of seasonal time series. It is designed for an audience of specialists in economic time series analysis and advanced graduate students. It is the most comprehensive and balanced treatment of the subject since the mid-1980s.
Author: William R. Bell Publisher: CRC Press ISBN: 1439846588 Category : Mathematics Languages : en Pages : 544
Book Description
Economic Time Series: Modeling and Seasonality is a focused resource on analysis of economic time series as pertains to modeling and seasonality, presenting cutting-edge research that would otherwise be scattered throughout diverse peer-reviewed journals. This compilation of 21 chapters showcases the cross-fertilization between the fields of time s
Author: Andrew C. Harvey Publisher: MIT Press ISBN: 9780262081894 Category : Business & Economics Languages : en Pages : 418
Book Description
The Econometric Analysis of Time Series focuses on the statistical aspects of model building, with an emphasis on providing an understanding of the main ideas and concepts in econometrics rather than presenting a series of rigorous proofs.
Author: C. W. J. Granger Publisher: Academic Press ISBN: 1483273245 Category : Business & Economics Languages : en Pages : 353
Book Description
Economic Theory, Econometrics, and Mathematical Economics, Second Edition: Forecasting Economic Time Series presents the developments in time series analysis and forecasting theory and practice. This book discusses the application of time series procedures in mainstream economic theory and econometric model building. Organized into 10 chapters, this edition begins with an overview of the problem of dealing with time series possessing a deterministic seasonal component. This text then provides a description of time series in terms of models known as the time-domain approach. Other chapters consider an alternative approach, known as spectral or frequency-domain analysis, that often provides useful insights into the properties of a series. This book discusses as well a unified approach to the fitting of linear models to a given time series. The final chapter deals with the main advantage of having a Gaussian series wherein the optimal single series, least-squares forecast will be a linear forecast. This book is a valuable resource for economists.
Author: Roberto S. Mariano Publisher: World Scientific ISBN: 9812778969 Category : Business & Economics Languages : en Pages : 200
Book Description
This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research. Sample Chapter(s). Foreword (32 KB). Chapter 1: Forecast Uncertainty, Its Representation and Evaluation* (97 KB). Contents: Forecasting Uncertainty, Its Representation and Evaluation (K F Wallis); The University of Pennsylvania Models for High-Frequency Macroeconomic Modeling (L R Klein & S Ozmucur); Forecasting Seasonal Time Series (P H Franses); Car and Affine Processes (C Gourieroux); Multivariate Time Series Analysis and Forecasting (M Deistler). Readership: Professionals and researchers in econometric forecasting and financial data analysis.
Author: John D. Levendis Publisher: Springer ISBN: 3319982826 Category : Business & Economics Languages : en Pages : 409
Book Description
In this book, the author rejects the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. They show with examples how to calculate and interpret the numerical results. This book begins with students estimating simple univariate models, in a step by step fashion, using the popular Stata software system. Students then test for stationarity, while replicating the actual results from hugely influential papers such as those by Granger and Newbold, and Nelson and Plosser. Readers will learn about structural breaks by replicating papers by Perron, and Zivot and Andrews. They then turn to models of conditional volatility, replicating papers by Bollerslev. Finally, students estimate multi-equation models such as vector autoregressions and vector error-correction mechanisms, replicating the results in influential papers by Sims and Granger. The book contains many worked-out examples, and many data-driven exercises. While intended primarily for graduate students and advanced undergraduates, practitioners will also find the book useful.
Author: Marc Nerlove Publisher: Academic Press ISBN: 1483218880 Category : Business & Economics Languages : en Pages : 495
Book Description
Analysis of Economic Time Series: A Synthesis integrates several topics in economic time-series analysis, including the formulation and estimation of distributed-lag models of dynamic economic behavior; the application of spectral analysis in the study of the behavior of economic time series; and unobserved-components models for economic time series and the closely related problem of seasonal adjustment. Comprised of 14 chapters, this volume begins with a historical background on the use of unobserved components in the analysis of economic time series, followed by an Introduction to the theory of stationary time series. Subsequent chapters focus on the spectral representation and its estimation; formulation of distributed-lag models; elements of the theory of prediction and extraction; and formulation of unobserved-components models and canonical forms. Seasonal adjustment techniques and multivariate mixed moving-average autoregressive time-series models are also considered. Finally, a time-series model of the U.S. cattle industry is presented. This monograph will be of value to mathematicians, economists, and those interested in economic theory, econometrics, and mathematical economics.
Author: Thomas B. Fomby Publisher: Emerald Group Publishing ISBN: 0762312742 Category : Business & Economics Languages : en Pages : 407
Book Description
Talks about the time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, application of the technique of boosting in volatility forecasting, and more.
Author: Eric Ghysels
Author: Eric Ghysels
Author: Eric Ghysels
Author: William R. Bell
Author: Andrew C. Harvey
Author: Philip Hans Franses
Author: C. W. J. Granger
Author: Roberto S. Mariano
Author: John D. Levendis
Author: Marc Nerlove
Author: Thomas B. Fomby