Forecasting economic time series:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
San Diego [u.a.]
Acad. Press
1986
|
| Edition: | 2. ed. |
| Series: | Economic theory, econometrics, and mathematical economics
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 338 S. graph. Darst. |
| ISBN: | 0122951832 0122951840 |
Staff View
MARC
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| 100 | 1 | |a Granger, C. W. J. |d 1934-2009 |e Verfasser |0 (DE-588)120941104 |4 aut | |
| 245 | 1 | 0 | |a Forecasting economic time series |c C. W. J. Granger ; Paul Newbold |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a San Diego [u.a.] |b Acad. Press |c 1986 | |
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| 650 | 4 | |a Série chronologique | |
| 650 | 7 | |a Tijdreeksen |2 gtt | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Economic forecasting |x Mathematical models | |
| 650 | 4 | |a Time-series analysis | |
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Record in the Search Index
| _version_ | 1804120583810580480 |
|---|---|
| adam_text | IMAGE 1
CONTENTS
PREFACE TO THE SECOND EDITION XI
PREFACE TO THE FIRST EDITION XIII
CHAPTER ONE INTRODUCTION TO THE THEORY OF TIME SERIES
1.1 INTRODUCING TIME SERIES 1
1.2 COVARIANCES AND STATIONARITY 3
1.3 SOME MATHEMATICAL TOOLS 6
1.4 THE LINEAR CYCLIC MODEL 10
1.5 THE AUTOREGRESSIVE MODEL 13
1.6 THE MOVING AVERAGE MODEL 21
1.7 THE MIXED AUTOREGRESSIVE-MOVING AVERAGE MODEL 25
1.8 INTERPRETING THE MIXED MODEL 28
1.9 FILTERS 32
1.10 DETERMINISTIC COMPONENTS 33
1.11 WOLD S DECOMPOSITION 37
1.12 NONSTATIONARY PROCESSES 38
1.13 INTEGRATED PROCESSES 41
1.14 MODELS FOR SEASONAL TIME SERIES 43
CHAPTER TWO SPECTRAL ANALYSIS
2.1 2.2 2.3 2.4
2.5 2.6 2.7
2.8
2.9
INTRODUCTION FILTERS THE SPECTRUM OF SOME COMMON MODELS ALIASING THE
CROSS SPECTRUM ESTIMATION OF SPECTRAL FUNCTIONS THE TYPICAL SPECTRAL
SHAPE AND ITS INTERPRETATION
SEASONAL ADJUSTMENT: AN APPLICATION OF THE CROSS SPECTRUM ADVANCED
SPECTRAL TECHNIQUES
45 53 55 57
58 62 64
66 71
IMAGE 2
CHAPTER THREE
BUILDING LINEAR TIME SERIES MODELS
3.1 MODEL BUILDING PHILOSOPHY 76
3.2 IDENTIFICATION 77
3.3 INITIAL ESTIMATES FOR COEFFICIENTS 87
3.4 THE AUTOCORRELATION FUNCTION AS A CHARACTERISTIC OF PROCESS BEHAVIOR
88
3.5 ESTIMATION 91
3.6 DIAGNOSTIC CHECKING 96
3.7 MODEL BUILDING FOR SEASONAL TIME SERIES 101
3.8 TIME SERIES MODEL BUILDING-AN OVERVIEW 114
CHAPTER FOUR THE THEORY OF FORECASTING
4.1 SOME BASIC CONCEPTS 120
4.2 GENERALIZED COST FUNCTIONS 124
4.3 PROPERTIES OF OPTIMAL, SINGLE-SERIES FORECASTS 127
4.4 OPTIMAL FORECASTS FOR PARTICULAR MODELS 132
4.5 A FREQUENCY-DOMAIN APPROACH 135
4.6 EXPECTATIONS AND FORECASTS 140
4.7 UNBIASED FORECASTS 144
4.8 INVERTIBILITY 145
4.9 TYPES OF FORECASTS 149
CHAPTER FIVE PRACTICAL METHODS FOR UNIVARIATE TIME SERIES FORECASTING
5.1 INTRODUCTION 151
5.2 BOX-JENKINS FORECASTING METHODS 152
5.3 EXPONENTIAL SMOOTHING METHODS 165
5.4 STEPWISE AUTOREGRESSION 178
5.5 A FULLY AUTOMATIC FORECASTING PROCEDURE BASED ON THE COMBINATION OF
FORECASTS 181
5.6 COMPARISON OF UNIVARIATE FORECASTING PROCEDURES 182
CHAPTER SIX FORECASTING FROM REGRESSION MODELS
6.1 INTRODUCTION 187
6.2 SINGLE EQUATION MODELS 188
6.3 SIMULTANEOUS EQUATION MODELS 195
6.4 DANGER OF SPURIOUS REGRESSIONS IN ECONOMETRIC MODELS 205
CHAPTER SEVEN MULTIPLE SERIES MODELING AND FORECASTING
7.1 INTRODUCTION 216
7.2 THEORETICAL MODELS FOR MULTIPLE TIME SERIES 216
IMAGE 3
7.3 CAUSALITY AND FEEDBACK 220
7.4 CO-INTEGRATED SERIES AND ERROR-CORRECTION MODELS 224
7.5 PROPERTIES OF OPTIMAL MULTISERIES FORECASTS 226
7.6 FORECASTING AGGREGATES 230
7.7 RATIONAL EXPECTATIONS 232
CHAPTER EIGHT BUILDING MULTIPLE TIME SERIES FORECASTING MODELS
8.1 INTRODUCTION 235
8.2 BUILDING BIVARIATE MODELS: UNIDIRECTIONAL CAUSALITY 235
8.3 BUILDING VECTOR ARMA MODELS 244
8.4 BUILDING FORECASTING MODELS FOR SEVERAL RELATED TIME SERIES 257
8.5 TESTING FOR CAUSALITY 259
8.6 TESTING FOR CO-INTEGRATION 262
CHAPTER NINE THE COMBINATION AND EVALUATION OF FORECASTS
9.1 TYPICAL SUBOPTIMALITY OF ECONOMIC FORECASTS 265
9.2 THE COMBINATION OF FORECASTS 266
9.3 THE EVALUATION OF FORECASTS 276
9.4 A SURVEY OF THE PERFORMANCE OF MACROECONOMIC FORECASTS 287
9.5 ECONOMETRIC FORECASTING AND TIME SERIES ANALYSIS 292
9.6 LEADING INDICATORS 294
CHAPTER TEN FURTHER TOPICS
10.1 STATE-SPACE REPRESENTATION, THE KALMAN FILTER 297
10.2 TIME-VARYING PARAMETER MODELS 302
10.3 NONLINEAR MODELS 303
10.4 BILINEAR MODELS 305
10.5 INSTANTANEOUS DATA TRANSFORMATIONS 306
10.6 FORECASTING WHITE NOISE 312
10.7 PREDICTING VARIANCES: ARCH MODELS 314
10.8 FORECASTING UNOBSERVED COMPONENTS 315
REFERENCES 317
AUTHOR INDEX 331
SUBJECT INDEX 335
|
| any_adam_object | 1 |
| author | Granger, C. W. J. 1934-2009 Newbold, Paul |
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| author_facet | Granger, C. W. J. 1934-2009 Newbold, Paul |
| author_role | aut aut |
| author_sort | Granger, C. W. J. 1934-2009 |
| author_variant | c w j g cwj cwjg p n pn |
| building | Verbundindex |
| bvnumber | BV006335839 |
| callnumber-first | H - Social Science |
| callnumber-label | HB3730 |
| callnumber-raw | HB3730 |
| callnumber-search | HB3730 |
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| callnumber-subject | HB - Economic Theory and Demography |
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| dewey-full | 338.5/442 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 338 - Production |
| dewey-raw | 338.5/442 |
| dewey-search | 338.5/442 |
| dewey-sort | 3338.5 3442 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| indexdate | 2024-07-09T16:44:24Z |
| institution | BVB |
| isbn | 0122951832 0122951840 |
| language | English |
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| physical | XIV, 338 S. graph. Darst. |
| psigel | TUB-www |
| publishDate | 1986 |
| publishDateSearch | 1986 |
| publishDateSort | 1986 |
| publisher | Acad. Press |
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| series2 | Economic theory, econometrics, and mathematical economics |
| spelling | Granger, C. W. J. 1934-2009 Verfasser (DE-588)120941104 aut Forecasting economic time series C. W. J. Granger ; Paul Newbold 2. ed. San Diego [u.a.] Acad. Press 1986 XIV, 338 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Economic theory, econometrics, and mathematical economics Análisis de series cronológicas Prognoses gtt Prévision économique Série chronologique Tijdreeksen gtt Mathematisches Modell Economic forecasting Mathematical models Time-series analysis Statistik (DE-588)4056995-0 gnd rswk-swf Wirtschaft (DE-588)4066399-1 gnd rswk-swf Prognose (DE-588)4047390-9 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Prognose (DE-588)4047390-9 s Wirtschaft (DE-588)4066399-1 s Zeitreihenanalyse (DE-588)4067486-1 s DE-604 Statistik (DE-588)4056995-0 s 1\p DE-604 Newbold, Paul Verfasser (DE-588)17029224X aut SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=004008702&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Granger, C. W. J. 1934-2009 Newbold, Paul Forecasting economic time series Análisis de series cronológicas Prognoses gtt Prévision économique Série chronologique Tijdreeksen gtt Mathematisches Modell Economic forecasting Mathematical models Time-series analysis Statistik (DE-588)4056995-0 gnd Wirtschaft (DE-588)4066399-1 gnd Prognose (DE-588)4047390-9 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4056995-0 (DE-588)4066399-1 (DE-588)4047390-9 (DE-588)4067486-1 |
| title | Forecasting economic time series |
| title_auth | Forecasting economic time series |
| title_exact_search | Forecasting economic time series |
| title_full | Forecasting economic time series C. W. J. Granger ; Paul Newbold |
| title_fullStr | Forecasting economic time series C. W. J. Granger ; Paul Newbold |
| title_full_unstemmed | Forecasting economic time series C. W. J. Granger ; Paul Newbold |
| title_short | Forecasting economic time series |
| title_sort | forecasting economic time series |
| topic | Análisis de series cronológicas Prognoses gtt Prévision économique Série chronologique Tijdreeksen gtt Mathematisches Modell Economic forecasting Mathematical models Time-series analysis Statistik (DE-588)4056995-0 gnd Wirtschaft (DE-588)4066399-1 gnd Prognose (DE-588)4047390-9 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Análisis de series cronológicas Prognoses Prévision économique Série chronologique Tijdreeksen Mathematisches Modell Economic forecasting Mathematical models Time-series analysis Statistik Wirtschaft Prognose Zeitreihenanalyse |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=004008702&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT grangercwj forecastingeconomictimeseries AT newboldpaul forecastingeconomictimeseries |