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Analysis of economic time series : a synthesis /
Analysis of Economic Time Series.
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New York :
Academic Press,
1979.
|
| Colección: | Economic theory, econometrics, and mathematical economics.
|
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Front Cover; Analysis of Economic Time Series: A Synthesis; Copyright Page; Dedication; Table of Contents; Preface; Chapter I.A History of the Idea of Unobserved Components in the Analysis of Economic Time Series; 1. Introduction; 2. Background; 3. Origins; 4. Nineteenth Century Contributors; 5. Recent Developments; 6. Application to Seasonal Adjustment and Current Analysis
- 7. Application to the Historical Analysis of BusinessCycles; Chapter II. Introduction to the Theory of Stationary Time Series; 1. Introduction; 2. What Is a Stationary Time Series? Ergodicity
- 3. The Wold Decomposition TheoremChapter III. The Spectral Representation and Its Estimation; 1. Introduction; 2. Covariance Generating Functions; 3. The Spectral Representation of a Stationary TimeSeries; 4. The Cross-Spectral Distribution Function of TwoJointly Stationary Time Series and Filtering; 5. Estimation of the Autocovariance Functionand the Spectral Density Function; Chapter IV. Formulation and Analysis of Unobserved-Components Models; 1. Introduction; 2. Unobserved-Components Models and Their Canonical Forms
- 3. Digression on a General Method for the Determination of the Autocovariances of a Mixed Moving-Average Autoregressive ProcessChapter V. Elements of the Theory of Prediction and Extraction; 1. Introduction; 2. Prediction; 3. Examples of the Application of Minimum-Mean-Square-Error Forecasts; 4. Signal Extraction; 5. Examples of Minimum-Mean-Square-Error Signal Extraction; Chapter VI. Formulation of Unobserved-Components Models and Canonical Forms; 1. Introduction; 2. Determining the Form of a Univariate Time-SeriesARMA Model
- 3. Determining the Form of a Univariate Time-SeriesUnobserved-Components Model4. The Analysis of a Time Series by More Than Its OwnPast; Chapter VII. Estimation of Unobserved-Components and Canonical Models; 1. Introduction; 2. ARMA Model Estimation in the Time Domain; 3. UC Model Estimation in the Time Domain; 4. ARMA Model Estimation in the Frequency Domain; 5. Unobserved-Components Model Estimationin the Frequency Domain; 6. Hypothesis Testing; 7. Estimation of Multiple Time-Series Models; Chapter VIII. Appraisal of Seasonal Adjustment Techniques
- 1. Criteria for ""Optimal"" Seasonal Adjustment2. Choice of Models; 3. Some Results; 4. Seasonal Adjustment and the Estimation of StructuralModels; 5. Conclusion; Chapter IX. On the Comparative Structure of Serial Dependence in Some U.S. Price Series; 1. Introduction; 2. Brief Characterization of Selected Nonindustrial PriceSeries of the Bureau of Labor Statistics; 3. Buyer's Prices and Seller's Prices: The National Bureau of Economic Research Series and the Stigler-Kindahl Study; 4. Conclusions