Problems of Time Series Analysis: 3 - Brossura

NERLOVE

Brossura

ISBN 10: 146159927X ISBN 13: 9781461599272

Casa editrice: Birkhäuser, 2012

Riassunto

The last decade has witnessed an increased interest in time series analysis. Non-parametric methods like spectral and cross spectral analysis are used to discover regularities in individual time series, re­ lationships between specific components of different time series and leads or lags between those series. Box-Jenkins procedures for the pa­ rametric estimation of autoregressive-moving average schemes be­ long nowadays to the standard equipment of a computer center. In economics this revival of time series analysis has led to numer­ ous empirical studies on optimal seasonal adjustment procedures, the behavior of prices, production, employment etc. More recently, Box­ Jenkins methods form an integral part for tests on the efficiency of markets, the effectiveness of monetary and fiscal policies and for the study of the röle of different assumptions on the formation of expec­ tations. This volume comprehends aseries of lectures which deal with var­ ious topics of time series analysis delivered during the wintersemester 1978/79 at the faculty of economics and statistics. The collection be­ gins with a paper by M. Nerlove introducing the concept of unob­ served components. Theoretical results are illustrated by examples se ries on prices of steers, heifers, cows and milk, of cattle and for time hog slaughter, of industrial production and male unemployment. The study by S. Heiler considers a mixed model with a linear regression part and a regular residual process for the prediction of economic processes when additional information is available.

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Contenuti

Unobserved Components Models for Economic Time Series.- Prediction of Economic Processes with Linear Regression Part.- A Comparative Study on the Performance of Two Forecasting Techniques Based Either on Distributed-Lag Models or on Pay-off Distributions.- Updated Time Series and Econometric Forecasts.- Time Series Analysis and Hypotheses Search Procedures.

Dettagli dell'edizione

• Editore: Birkhäuser
• Data di pubblicazione: 2012
• Lingua: Inglese
• ISBN 10: 146159927X
• ISBN 13: 9781461599272
• Rilegatura: Copertina flessibile
• Numero di pagine: 108
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile