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Author: Terence C. Mills Publisher: Cambridge University Press ISBN: 9780521405744 Category : Business & Economics Languages : en Pages : 392
Book Description
The application of time series techniques in economics has become increasingly important, both for forecasting purposes and in the empirical analysis of time series in general. In this book, Terence Mills not only brings together recent research at the frontiers of the subject, but also analyses the areas of most importance to applied economics. It is an up-to-date text which extends the basic techniques of analysis to cover the development of methods that can be used to analyse a wide range of economic problems. The book analyses three basic areas of time series analysis: univariate models, multivariate models, and non-linear models. In each case the basic theory is outlined and then extended to cover recent developments. Particular emphasis is placed on applications of the theory to important areas of applied economics and on the computer software and programs needed to implement the techniques. This book clearly distinguishes itself from its competitors by emphasising the techniques of time series modelling rather than technical aspects such as estimation, and by the breadth of the models considered. It features many detailed real-world examples using a wide range of actual time series. It will be useful to econometricians and specialists in forecasting and finance and accessible to most practitioners in economics and the allied professions.
Author: Terence C. Mills Publisher: Cambridge University Press ISBN: 9780521405744 Category : Business & Economics Languages : en Pages : 392
Book Description
The application of time series techniques in economics has become increasingly important, both for forecasting purposes and in the empirical analysis of time series in general. In this book, Terence Mills not only brings together recent research at the frontiers of the subject, but also analyses the areas of most importance to applied economics. It is an up-to-date text which extends the basic techniques of analysis to cover the development of methods that can be used to analyse a wide range of economic problems. The book analyses three basic areas of time series analysis: univariate models, multivariate models, and non-linear models. In each case the basic theory is outlined and then extended to cover recent developments. Particular emphasis is placed on applications of the theory to important areas of applied economics and on the computer software and programs needed to implement the techniques. This book clearly distinguishes itself from its competitors by emphasising the techniques of time series modelling rather than technical aspects such as estimation, and by the breadth of the models considered. It features many detailed real-world examples using a wide range of actual time series. It will be useful to econometricians and specialists in forecasting and finance and accessible to most practitioners in economics and the allied professions.
Author: Tomas Cipra Publisher: Springer Nature ISBN: 3030463478 Category : Business & Economics Languages : en Pages : 409
Book Description
This book presents the principles and methods for the practical analysis and prediction of economic and financial time series. It covers decomposition methods, autocorrelation methods for univariate time series, volatility and duration modeling for financial time series, and multivariate time series methods, such as cointegration and recursive state space modeling. It also includes numerous practical examples to demonstrate the theory using real-world data, as well as exercises at the end of each chapter to aid understanding. This book serves as a reference text for researchers, students and practitioners interested in time series, and can also be used for university courses on econometrics or computational finance.
Author: Terence C. Mills Publisher: Springer Nature ISBN: 3030763595 Category : Business & Economics Languages : en Pages : 219
Book Description
Modelling trends and cycles in economic time series has a long history, with the use of linear trends and moving averages forming the basic tool kit of economists until the 1970s. Several developments in econometrics then led to an overhaul of the techniques used to extract trends and cycles from time series. In this second edition, Terence Mills expands on the research in the area of trends and cycles over the last (almost) two decades, to highlight to students and researchers the variety of techniques and the considerations that underpin their choice for modelling trends and cycles.
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: 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: 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: Evžen Kočenda Publisher: Charles University in Prague, Karolinum Press ISBN: 8024631997 Category : Business & Economics Languages : en Pages : 220
Book Description
This book presents the numerous tools for the econometric analysis of time series. The text is designed with emphasis on the practical application of theoretical tools. Accordingly, material is presented in a way that is easy to understand. In many cases intuitive explanation and understanding of the studied phenomena are offerd. Essential concepts are illustrated by clear-cut examples. The attention of readers is drawn to numerous applied works where the use of specific techniques is best illustrated. Such applications are chiefly connected with issues of recent economic transition and European integration. The outlined style of presentation makes the book also a rich source of references. The text is divided into five major sections. The first section, “The Nature of Time Series”, gives an introduction to time series analysis. The second section, “Difference Equations”, describes briefly the theory of difference equations with an emphasis on results that are important for time series econometrics. The third section, “Univariate Time Series”, presents the methods commonly used in univariate time series analysis, the analysis of time series of one single variable. The fourth section, “Multiple Time Series”, deals with time series models of multiple interrelated variables. The fifth section “Panel Data and Unit Root Tests”, deals with methods known as panel unit root tests that are relevant to issues of convergence. Appendices contain an introduction to simulation techniques and statistical tables. Kniha přináší soubor základních i pokročilých technik a postupů používaných v ekonometrické analýze časových řad. Kniha klade důraz na umožnění efektivního použití popsaných technik v aplikovaném ekonomickém výzkumu. Toho je dosaženo tím, že teoretické základy popsané ekonometrie jsou prezentovány spolu s intuitivním vysvětlením problematiky a jednotlivé techniky jsou ilustrovány na výsledcích současného výzkumu a to především v kontextu procesu nedávné ekonomické transformace a současné evropské integrace. Toto pojetí z knihy činí nejen učebnici v klasickém smyslu, ale také užitečný referenční zdroj neboť odkazy v knize spojují klasickou i moderní ekonometrickou literaturu se soudobými aplikacemi, na nichž je použití jednotlivých technik jasně pochopitelné. Mnohá použití vycházejí z bohaté předchozí práce autorů v oboru. Text knihy je rozdělen do pěti hlavních částí. První část, “The Nature of Time Series”, přináší úvod do analýzy časových řad a popis jejich nejdůležitějších charakteristik, vlastností a procesů. Druhá část, “Difference Equations”, stručně popisuje teorii diferenciálních rovnic s důrazem na aspekty, které jsou klíčové v ekonometrii časových řad. Třetí část, “Univariate Time Series”, poměrně rozsáhle popisuje techniky, které se používají při analýze jednotlivých časových řad bez jejich vzájemené interakce a zahrnuje jak lineární tak nelineární modelované struktury. Čtvrtá část, “Multiple Time Series”, popisuje modely které umožňují analýzu několika časových řad a jejich vzájemných interakcí. Pátá část “Panel Data and Unit Root Tests”, zahrnuje některé techniky postavené na panelových datech, jež k průřezovým datům přidávají časovou dimenzi a vztahují se k analýze konvergence. Závěr knihy je doplněn o úvod do simulační techniky a statistické tabulky
Author: Clive William John Granger Publisher: ISBN: Category : Business & Economics Languages : en Pages : 428
Book Description
This book has been updated to reflect developments in time series analysis and forecasting theory and practice, particularly as applied to economics. The second edition pays attention to such problems as how to evaluate and compare forecasts.
Author: Terence C. Mills Publisher: Academic Press ISBN: 0128131179 Category : Business & Economics Languages : en Pages : 354
Book Description
Written for those who need an introduction, Applied Time Series Analysis reviews applications of the popular econometric analysis technique across disciplines. Carefully balancing accessibility with rigor, it spans economics, finance, economic history, climatology, meteorology, and public health. Terence Mills provides a practical, step-by-step approach that emphasizes core theories and results without becoming bogged down by excessive technical details. Including univariate and multivariate techniques, Applied Time Series Analysis provides data sets and program files that support a broad range of multidisciplinary applications, distinguishing this book from others.
Author: Clive William John Granger Publisher: Princeton University Press ISBN: 1400875528 Category : Business & Economics Languages : en Pages : 318
Book Description
The important data of economics are in the form of time series; therefore, the statistical methods used will have to be those designed for time series data. New methods for analyzing series containing no trends have been developed by communication engineering, and much recent research has been devoted to adapting and extending these methods so that they will be suitable for use with economic series. This book presents the important results of this research and further advances the application of the recently developed Theory of Spectra to economics. In particular, Professor Hatanaka demonstrates the new technique in treating two problems-business cycle indicators, and the acceleration principle existing in department store data. Originally published in 1964. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.
Author: Terence C. Mills
Author: Terence C. Mills
Author: Tomas Cipra
Author: Terence C. Mills
Author: C. W. J. Granger
Author: Philip Hans Franses
Author: Marc Nerlove
Author: Evžen Kočenda
Author: Clive William John Granger
Author: Terence C. Mills
Author: Clive William John Granger