The econometric analysis of time series:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
MIT Press
1999
|
| Ausgabe: | 2. ed., 4. pr. |
| Schriftenreihe: | LSE handbooks in economics
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIII, 387 S. graph. Darst. |
| ISBN: | 026208189X |
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| 245 | 1 | 0 | |a The econometric analysis of time series |c A. C. Harvey |
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Datensatz im Suchindex
| _version_ | 1804138093770440704 |
|---|---|
| adam_text | ЧАЛ
3 λ
QÅ
(І)
Fourth printing,
1999
First MIT Press edition,
1990
© 1990
A. C. Harvey
All rights reserved. No part of this book may be reproduced in any form by any
electronic or mechanical means (including photocopying, recording, or information
storage and retrieval) without permission in writing from the publisher.
Printed and bound in the United States of America.
Library of Congress Cataloging-in-Publication Data
Harvey, A. C. (Andrew C.)
The econometric analysis of time series/A.
С
Harvey
— 2nd
ed.
p. cm.
Bibliography: p.
Includes indexes.
ISBN 0-262-08189-X
1.
Econometrics.
2.
Time-series analysis. I. Title.
HB139.H37
1989
519.5 5 —
dc20
89-12371
CIP
Contents
Preface
List of Abbreviations
1
Introduction
1.1.
Estimation, Testing and Model Selection
1.2.
Time Series Observations
1.3.
Mathematical and Statistical Preliminaries
1.4.
Asymptotic Theory
1.5.
Time Series Analysis and Model Building
1.6.
Econometric Models
ix
XII
1
7
14
19
23
33
2
Regression
2. 1.
Linear Regression Models
2. 2.
Least Squares Estimation
2. 3.
Properties of the Ordinary Least Squares Estimator
2. 4.
Generalised Least Squares
2. 5.
Prediction
2. 6.
Recursive Least Squares
2. 7.
Residuals
2 8
Test Statistics and Confidence Intervals
2. 9.
Systems of Equations: Seemingly Unrelated Regression Equations
2.10.
Multivariate Regression
2.11.
The Method of Instrumental Variables
2.12. Autoregression
37
37
40
44
48
51
52
56
58
65
72
75
79
3
The Method of Maximum Likelihood
3.1.
Introduction
3.2.
Sufficiency and the Cramer- Rao Lower Bound
3.3.
Properties of the Maximum Likelihood Estimator
3.4.
Maximum Likelihood Estimation of Regression Models
3.5.
Dependent Observations
3.6.
Identifiability
3.7.
Robustness
84
84
89
93
95
104
111
116
VÍ
THE ECONOMETRIC ANALYSIS OF TIME SERIES
4
Numerical Optimisation
122
4.1.
Introduction
122
4.2.
Principles of Numerical Optimisation
123
4.3.
Newton
-
Raphson
130
4.4.
Maximisation of a Likelihood Function
133
4.5.
Two-Step Estimators
140
4.6.
Test Statistics and Confidence Intervals
143
Test
Procedures and Model Selection
146
5.1.
Introduction
146
5.2.
Tests of Misspecification
150
5.3.
Classical Test Procedures: The Likelihood Ratio Test
160
5.4.
Wald
Tests
166
5.5.
The
Lagrange
Multiplier Test
169
5.6.
Non-Nested Models
177
5.7.
Post-Sample Predictive Testing
181
5.8.
A Strategy for Model Selection
185
Regression Models with Serially Correlated Disturbances
191
6.1.
First Order
Autoregressive
Disturbances
191
6.2.
Comparison of Estimators
195
6.3.
Testing for First Order
Autoregressive
Disturbances
200
6.4.
Higher Order
Autoregressive
Disturbances
204
6.5.
Moving Average and Mixed Disturbances
207
6.6.
Tests Against Serial Correlation
210
6.7.
Prediction
213
6.8.
Systems of Equations
216
6.9.
ARCH Disturbances
219
Dynamic Models I
225
7.1.
Introduction
225
7.2.
Systematic Dynamics
232
7.3.
Estimation of Transfer Function Models with
Independent Disturbances
238
7.4.
Serial Correlation
245
7.5.
Model Selection
246
7.6.
Trend and Seasonality
250
7.7.
Prediction and Forecasting
253
7.8.
Polynomial Distributed Lags
257
Dynamic Models II: Stochastic Difference Equations
264
8.1.
Introduction
264
8.2.
Estimation
267
8.3.
Testing for Serial Correlation
275
8.4.
Model Selection
280
8.5.
Error Correction Models and Co-Integration
289
8.6.
Systems of Equations
296
8.7.
Causality
303
8.8.
Exoeeneitv
309
CONTENTS
vii
9
Simultaneous Equation Models
313
9.1.
Introduction
313
9.2.
Identiflability
318
9.3.
Maximum Likelihood Estimation
329
9.4.
Two-Stage and Three-Stage Least Squares
332
9.5.
Testing the Validity of Restrictions on the Model
340
9.6.
Dynamic Models
342
9.7.
Estimation and Identification of Dynamic Models
346
9.8.
Forecasting, Prediction and Control
351
Appendix on Matrix Algebra
359
Tables
361
Answers to Selected Exercises
369
References
371
Subject Index
380
Author Index
386
|
| adam_txt |
ЧАЛ
\\3\λ
QÅ
(І)
Fourth printing,
1999
First MIT Press edition,
1990
© 1990
A. C. Harvey
All rights reserved. No part of this book may be reproduced in any form by any
electronic or mechanical means (including photocopying, recording, or information
storage and retrieval) without permission in writing from the publisher.
Printed and bound in the United States of America.
Library of Congress Cataloging-in-Publication Data
Harvey, A. C. (Andrew C.)
The econometric analysis of time series/A.
С
Harvey
— 2nd
ed.
p. cm.
Bibliography: p.
Includes indexes.
ISBN 0-262-08189-X
1.
Econometrics.
2.
Time-series analysis. I. Title.
HB139.H37
1989
519.5'5 —
dc20
89-12371
CIP
Contents
Preface
List of Abbreviations
1
Introduction
1.1.
Estimation, Testing and Model Selection
1.2.
Time Series Observations
1.3.
Mathematical and Statistical Preliminaries
1.4.
Asymptotic Theory
1.5.
Time Series Analysis and Model Building
1.6.
Econometric Models
ix
XII
1
7
14
19
23
33
2
Regression
2. 1.
Linear Regression Models
2. 2.
Least Squares Estimation
2. 3.
Properties of the Ordinary Least Squares Estimator
2. 4.
Generalised Least Squares
2. 5.
Prediction
2. 6.
Recursive Least Squares
2. 7.
Residuals
2 8
Test Statistics and Confidence Intervals
2. 9.
Systems of Equations: Seemingly Unrelated Regression Equations
2.10.
Multivariate Regression
2.11.
The Method of Instrumental Variables
2.12. Autoregression
37
37
40
44
48
51
52
56
58
65
72
75
79
3
The Method of Maximum Likelihood
3.1.
Introduction
3.2.
Sufficiency and the Cramer- Rao Lower Bound
3.3.
Properties of the Maximum Likelihood Estimator
3.4.
Maximum Likelihood Estimation of Regression Models
3.5.
Dependent Observations
3.6.
Identifiability
3.7.
Robustness
84
84
89
93
95
104
111
116
VÍ
THE ECONOMETRIC ANALYSIS OF TIME SERIES
4
Numerical Optimisation
122
4.1.
Introduction
122
4.2.
Principles of Numerical Optimisation
123
4.3.
Newton
-
Raphson
130
4.4.
Maximisation of a Likelihood Function
133
4.5.
Two-Step Estimators
140
4.6.
Test Statistics and Confidence Intervals
143
Test
Procedures and Model Selection
146
5.1.
Introduction
146
5.2.
Tests of Misspecification
150
5.3.
Classical Test Procedures: The Likelihood Ratio Test
160
5.4.
Wald
Tests
166
5.5.
The
Lagrange
Multiplier Test
169
5.6.
Non-Nested Models
177
5.7.
Post-Sample Predictive Testing
181
5.8.
A Strategy for Model Selection
185
Regression Models with Serially Correlated Disturbances
191
6.1.
First Order
Autoregressive
Disturbances
191
6.2.
Comparison of Estimators
195
6.3.
Testing for First Order
Autoregressive
Disturbances
200
6.4.
Higher Order
Autoregressive
Disturbances
204
6.5.
Moving Average and Mixed Disturbances
207
6.6.
Tests Against Serial Correlation
210
6.7.
Prediction
213
6.8.
Systems of Equations
216
6.9.
ARCH Disturbances
219
Dynamic Models I
225
7.1.
Introduction
225
7.2.
Systematic Dynamics
232
7.3.
Estimation of Transfer Function Models with
Independent Disturbances
238
7.4.
Serial Correlation
245
7.5.
Model Selection
246
7.6.
Trend and Seasonality
250
7.7.
Prediction and Forecasting
253
7.8.
Polynomial Distributed Lags
257
Dynamic Models II: Stochastic Difference Equations
264
8.1.
Introduction
264
8.2.
Estimation
267
8.3.
Testing for Serial Correlation
275
8.4.
Model Selection
280
8.5.
Error Correction Models and Co-Integration
289
8.6.
Systems of Equations
296
8.7.
Causality
303
8.8.
Exoeeneitv
309
CONTENTS
vii
9
Simultaneous Equation Models
313
9.1.
Introduction
313
9.2.
Identiflability
318
9.3.
Maximum Likelihood Estimation
329
9.4.
Two-Stage and Three-Stage Least Squares
332
9.5.
Testing the Validity of Restrictions on the Model
340
9.6.
Dynamic Models
342
9.7.
Estimation and Identification of Dynamic Models
346
9.8.
Forecasting, Prediction and Control
351
Appendix on Matrix Algebra
359
Tables
361
Answers to Selected Exercises
369
References
371
Subject Index
380
Author Index
386 |
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| id | DE-604.BV035117695 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:20:12Z |
| indexdate | 2024-07-09T21:22:43Z |
| institution | BVB |
| isbn | 026208189X |
| language | English |
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| record_format | marc |
| series2 | LSE handbooks in economics |
| spelling | Harvey, Andrew C. 1947- Verfasser (DE-588)121875032 aut The econometric analysis of time series A. C. Harvey 2. ed., 4. pr. Cambridge, Mass. MIT Press 1999 XIII, 387 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier LSE handbooks in economics Wirtschaftsmodell (DE-588)4079348-5 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Ökometrie (DE-588)4263722-3 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 s Ökonometrie (DE-588)4132280-0 s DE-604 Wirtschaftsmodell (DE-588)4079348-5 s 1\p DE-604 Ökonometrisches Modell (DE-588)4043212-9 s 2\p DE-604 Ökometrie (DE-588)4263722-3 s 3\p DE-604 Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016785418&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Harvey, Andrew C. 1947- The econometric analysis of time series Wirtschaftsmodell (DE-588)4079348-5 gnd Ökonometrie (DE-588)4132280-0 gnd Ökometrie (DE-588)4263722-3 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4079348-5 (DE-588)4132280-0 (DE-588)4263722-3 (DE-588)4043212-9 (DE-588)4067486-1 |
| title | The econometric analysis of time series |
| title_auth | The econometric analysis of time series |
| title_exact_search | The econometric analysis of time series |
| title_exact_search_txtP | The econometric analysis of time series |
| title_full | The econometric analysis of time series A. C. Harvey |
| title_fullStr | The econometric analysis of time series A. C. Harvey |
| title_full_unstemmed | The econometric analysis of time series A. C. Harvey |
| title_short | The econometric analysis of time series |
| title_sort | the econometric analysis of time series |
| topic | Wirtschaftsmodell (DE-588)4079348-5 gnd Ökonometrie (DE-588)4132280-0 gnd Ökometrie (DE-588)4263722-3 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Wirtschaftsmodell Ökonometrie Ökometrie Ökonometrisches Modell Zeitreihenanalyse |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016785418&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT harveyandrewc theeconometricanalysisoftimeseries |