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Author: Kenneth Frank Wallis Publisher: Edward Elgar Publishing ISBN: 9781782541622 Category : Business & Economics Languages : en Pages : 462
Book Description
'An excellent reference volume of this author's work, bringing together articles published over a 25 year span on the statistical analysis of economic time series, large scale macroeconomic modelling and the interface between them.' - Aslib Book Guide This major volume of essays by Kenneth F. Wallis features 28 articles published over a quarter of a century on the statistical analysis of economic time series, large-scale macroeconometric modelling, and the interface between them. The first part deals with time-series econometrics and includes significant early contributions to the development of the LSE tradition in time-series econometrics, which is the dominant British tradition and has considerable influence worldwide. Later sections discuss theoretical and practical issues in modelling seasonality and forecasting with applications in both large-scale and small-scale models. The final section summarizes the research programme of the ESRC Macroeconomic Modelling Bureau, a unique comparison project among economy-wide macroeconometric models.
Author: Kenneth Frank Wallis Publisher: Edward Elgar Publishing ISBN: 9781782541622 Category : Business & Economics Languages : en Pages : 462
Book Description
'An excellent reference volume of this author's work, bringing together articles published over a 25 year span on the statistical analysis of economic time series, large scale macroeconomic modelling and the interface between them.' - Aslib Book Guide This major volume of essays by Kenneth F. Wallis features 28 articles published over a quarter of a century on the statistical analysis of economic time series, large-scale macroeconometric modelling, and the interface between them. The first part deals with time-series econometrics and includes significant early contributions to the development of the LSE tradition in time-series econometrics, which is the dominant British tradition and has considerable influence worldwide. Later sections discuss theoretical and practical issues in modelling seasonality and forecasting with applications in both large-scale and small-scale models. The final section summarizes the research programme of the ESRC Macroeconomic Modelling Bureau, a unique comparison project among economy-wide macroeconometric models.
Author: Gebhard Kirchgässner Publisher: Springer Science & Business Media ISBN: 3642334369 Category : Business & Economics Languages : en Pages : 326
Book Description
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.
Author: Ragnar Nymoen Publisher: World Scientific ISBN: 9811207534 Category : Business & Economics Languages : en Pages : 586
Book Description
For Masters and PhD students in EconomicsIn this textbook, the duality between the equilibrium concept used in dynamic economic theory and the stationarity of economic variables is explained and used in the presentation of single equations models and system of equations such as VARs, recursive models and simultaneous equations models.The book also contains chapters on: exogeneity, in the context of estimation, policy analysis and forecasting; automatic (computer based) variable selection, and how it can aid in the specification of an empirical macroeconomic model; and finally, on a common framework for model-based economic forecasting.Supplementary materials and notes are available on the publisher's website.
Author: Philip Hans Franses Publisher: Cambridge University Press ISBN: 1139952129 Category : Business & Economics Languages : en Pages : 421
Book Description
With a new author team contributing decades of practical experience, this fully updated and thoroughly classroom-tested second edition textbook prepares students and practitioners to create effective forecasting models and master the techniques of time series analysis. Taking a practical and example-driven approach, this textbook summarises the most critical decisions, techniques and steps involved in creating forecasting models for business and economics. Students are led through the process with an entirely new set of carefully developed theoretical and practical exercises. Chapters examine the key features of economic time series, univariate time series analysis, trends, seasonality, aberrant observations, conditional heteroskedasticity and ARCH models, non-linearity and multivariate time series, making this a complete practical guide. Downloadable datasets are available online.
Author: Marc Nerlove Publisher: ISBN: Category : Business & Economics Languages : en Pages : 504
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
Author: Steven Durlauf Publisher: Springer ISBN: 0230280838 Category : Business & Economics Languages : en Pages : 417
Book Description
Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Author: Klaus Neusser Publisher: Springer ISBN: 331932862X Category : Business & Economics Languages : en Pages : 421
Book Description
This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students.
Author: Gebhard Kirchgässner Publisher: Springer Science & Business Media ISBN: 9783540687351 Category : Business & Economics Languages : en Pages : 288
Book Description
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It contains the most important approaches to analyze time series which may be stationary or nonstationary.
Author: Philip Rothman Publisher: Springer Science & Business Media ISBN: 0792383796 Category : Business & Economics Languages : en Pages : 394
Book Description
Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.
Author: Kenneth Frank Wallis
Author: Kenneth Frank Wallis
Author: Gebhard Kirchgässner
Author: Ragnar Nymoen
Author: Philip Hans Franses
Author: Andrew C. Harvey
Author: Marc Nerlove
Author: Steven Durlauf
Author: Klaus Neusser
Author: Gebhard Kirchgässner
Author: Philip Rothman