Time series and dynamic models:
In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of economics...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Weitere Verfasser: | , |
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
1997
|
| Schriftenreihe: | Themes in modern econometrics
|
| Schlagworte: | |
| Online-Zugang: | BSB01 UBG01 Volltext |
| Zusammenfassung: | In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of economics, one of its most attractive features is the close attention it pays to economic models and phenomena throughout. The coverage represents a major reference tool for graduate students, researchers and applied economists. The book is divided into four sections. Section one gives a detailed treatment of classical seasonal adjustment or smoothing methods. Section two provides a thorough coverage of various mathematical tools. Section three is the heart of the book, and is devoted to a range of important topics including causality, exogeneity shocks, multipliers, cointegration and fractionally integrated models. The final section describes the main contribution of filtering and smoothing theory to time series econometric problems |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Beschreibung: | 1 online resource (xv, 668 pages) |
| ISBN: | 9780511628597 |
| DOI: | 10.1017/CBO9780511628597 |
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| 505 | 8 | |a Ch. 1. Introduction -- Ch. 2. Linear Regression for Seasonal Adjustment -- Ch. 3. Moving Averages for Seasonal Adjustment -- Ch. 4. Exponential Smoothing Methods -- Ch. 5. Some Results on the Univariate Processes -- Ch. 6. The Box and Jenkins Method for Forecasting -- Ch. 7. Multivariate Time Series -- Ch. 8. Time-series Representations -- Ch. 9. Estimation and Testing (Stationary Case) -- Ch. 10. Causality, Exogeneity, and Shocks -- Ch. 11. Trend Components -- Ch. 12. Expectations -- Ch. 13. Specification Analysis -- Ch. 14. Statistical Properties of Nonstationary Processes -- Ch. 15. State-space Models and the Kalman Filter -- Ch. 16. Applications of the State-space Model | |
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| author | Gourieroux, Christian 1949- |
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| contents | Ch. 1. Introduction -- Ch. 2. Linear Regression for Seasonal Adjustment -- Ch. 3. Moving Averages for Seasonal Adjustment -- Ch. 4. Exponential Smoothing Methods -- Ch. 5. Some Results on the Univariate Processes -- Ch. 6. The Box and Jenkins Method for Forecasting -- Ch. 7. Multivariate Time Series -- Ch. 8. Time-series Representations -- Ch. 9. Estimation and Testing (Stationary Case) -- Ch. 10. Causality, Exogeneity, and Shocks -- Ch. 11. Trend Components -- Ch. 12. Expectations -- Ch. 13. Specification Analysis -- Ch. 14. Statistical Properties of Nonstationary Processes -- Ch. 15. State-space Models and the Kalman Filter -- Ch. 16. Applications of the State-space Model |
| ctrlnum | (ZDB-20-CBO)CR9780511628597 (OCoLC)967400544 (DE-599)BVBBV043920536 |
| dewey-full | 330.015195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.015195 |
| dewey-search | 330.015195 |
| dewey-sort | 3330.015195 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/CBO9780511628597 |
| format | Electronic eBook |
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| id | DE-604.BV043920536 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:38:36Z |
| institution | BVB |
| isbn | 9780511628597 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029329619 |
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| owner_facet | DE-12 DE-473 DE-BY-UBG |
| physical | 1 online resource (xv, 668 pages) |
| psigel | ZDB-20-CBO ZDB-20-CBO BSB_PDA_CBO ZDB-20-CBO UBG_PDA_CBO |
| publishDate | 1997 |
| publishDateSearch | 1997 |
| publishDateSort | 1997 |
| publisher | Cambridge University Press |
| record_format | marc |
| series2 | Themes in modern econometrics |
| spelling | Gourieroux, Christian 1949- Verfasser aut Séries temporelles et modèles dynamiques Time series and dynamic models Christian Gourieroux, Alain Monfort ; translated and edited by Giampiero M. Gallo Time Series & Dynamic Models Cambridge Cambridge University Press 1997 1 online resource (xv, 668 pages) txt rdacontent c rdamedia cr rdacarrier Themes in modern econometrics Title from publisher's bibliographic system (viewed on 05 Oct 2015) Ch. 1. Introduction -- Ch. 2. Linear Regression for Seasonal Adjustment -- Ch. 3. Moving Averages for Seasonal Adjustment -- Ch. 4. Exponential Smoothing Methods -- Ch. 5. Some Results on the Univariate Processes -- Ch. 6. The Box and Jenkins Method for Forecasting -- Ch. 7. Multivariate Time Series -- Ch. 8. Time-series Representations -- Ch. 9. Estimation and Testing (Stationary Case) -- Ch. 10. Causality, Exogeneity, and Shocks -- Ch. 11. Trend Components -- Ch. 12. Expectations -- Ch. 13. Specification Analysis -- Ch. 14. Statistical Properties of Nonstationary Processes -- Ch. 15. State-space Models and the Kalman Filter -- Ch. 16. Applications of the State-space Model In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of economics, one of its most attractive features is the close attention it pays to economic models and phenomena throughout. The coverage represents a major reference tool for graduate students, researchers and applied economists. The book is divided into four sections. Section one gives a detailed treatment of classical seasonal adjustment or smoothing methods. Section two provides a thorough coverage of various mathematical tools. Section three is the heart of the book, and is devoted to a range of important topics including causality, exogeneity shocks, multipliers, cointegration and fractionally integrated models. The final section describes the main contribution of filtering and smoothing theory to time series econometric problems Economics, Mathematical Econometrics Time-series analysis Dynamisches Modell (DE-588)4150932-8 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Zeitreihe (DE-588)4127298-5 gnd rswk-swf Kalman-Filter (DE-588)4130759-8 gnd rswk-swf Mittelwert (DE-588)4130070-1 gnd rswk-swf Saisonbereinigungsverfahren (DE-588)4178933-7 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Zeitreihe (DE-588)4127298-5 s Dynamisches Modell (DE-588)4150932-8 s 1\p DE-604 Zeitreihenanalyse (DE-588)4067486-1 s Ökonometrie (DE-588)4132280-0 s 2\p DE-604 Saisonbereinigungsverfahren (DE-588)4178933-7 s 3\p DE-604 Kalman-Filter (DE-588)4130759-8 s 4\p DE-604 Mittelwert (DE-588)4130070-1 s 5\p DE-604 Monfort, Alain 1943- edt Gallo, Giampiero M. edt trl Erscheint auch als Druckausgabe 978-0-521-41146-2 Erscheint auch als Druckausgabe 978-0-521-42308-3 https://doi.org/10.1017/CBO9780511628597 Verlag URL des Erstveröffentlichers Volltext 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 4\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 5\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Gourieroux, Christian 1949- Time series and dynamic models Ch. 1. Introduction -- Ch. 2. Linear Regression for Seasonal Adjustment -- Ch. 3. Moving Averages for Seasonal Adjustment -- Ch. 4. Exponential Smoothing Methods -- Ch. 5. Some Results on the Univariate Processes -- Ch. 6. The Box and Jenkins Method for Forecasting -- Ch. 7. Multivariate Time Series -- Ch. 8. Time-series Representations -- Ch. 9. Estimation and Testing (Stationary Case) -- Ch. 10. Causality, Exogeneity, and Shocks -- Ch. 11. Trend Components -- Ch. 12. Expectations -- Ch. 13. Specification Analysis -- Ch. 14. Statistical Properties of Nonstationary Processes -- Ch. 15. State-space Models and the Kalman Filter -- Ch. 16. Applications of the State-space Model Economics, Mathematical Econometrics Time-series analysis Dynamisches Modell (DE-588)4150932-8 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Zeitreihe (DE-588)4127298-5 gnd Kalman-Filter (DE-588)4130759-8 gnd Mittelwert (DE-588)4130070-1 gnd Saisonbereinigungsverfahren (DE-588)4178933-7 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4150932-8 (DE-588)4067486-1 (DE-588)4127298-5 (DE-588)4130759-8 (DE-588)4130070-1 (DE-588)4178933-7 (DE-588)4132280-0 |
| title | Time series and dynamic models |
| title_alt | Séries temporelles et modèles dynamiques Time Series & Dynamic Models |
| title_auth | Time series and dynamic models |
| title_exact_search | Time series and dynamic models |
| title_full | Time series and dynamic models Christian Gourieroux, Alain Monfort ; translated and edited by Giampiero M. Gallo |
| title_fullStr | Time series and dynamic models Christian Gourieroux, Alain Monfort ; translated and edited by Giampiero M. Gallo |
| title_full_unstemmed | Time series and dynamic models Christian Gourieroux, Alain Monfort ; translated and edited by Giampiero M. Gallo |
| title_short | Time series and dynamic models |
| title_sort | time series and dynamic models |
| topic | Economics, Mathematical Econometrics Time-series analysis Dynamisches Modell (DE-588)4150932-8 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Zeitreihe (DE-588)4127298-5 gnd Kalman-Filter (DE-588)4130759-8 gnd Mittelwert (DE-588)4130070-1 gnd Saisonbereinigungsverfahren (DE-588)4178933-7 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Economics, Mathematical Econometrics Time-series analysis Dynamisches Modell Zeitreihenanalyse Zeitreihe Kalman-Filter Mittelwert Saisonbereinigungsverfahren Ökonometrie |
| url | https://doi.org/10.1017/CBO9780511628597 |
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