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...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | , |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
1997
|
| Series: | Themes in modern econometrics
|
| Subjects: | |
| Online Access: | BSB01 UBG01 Volltext |
| Summary: | 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 |
| Item Description: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Physical Description: | 1 online resource (xv, 668 pages) |
| ISBN: | 9780511628597 |
| DOI: | 10.1017/CBO9780511628597 |
Staff View
MARC
| LEADER | 00000nmm a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV043920536 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 161202s1997 |||| o||u| ||||||eng d | ||
| 020 | |a 9780511628597 |c Online |9 978-0-511-62859-7 | ||
| 024 | 7 | |a 10.1017/CBO9780511628597 |2 doi | |
| 035 | |a (ZDB-20-CBO)CR9780511628597 | ||
| 035 | |a (OCoLC)967400544 | ||
| 035 | |a (DE-599)BVBBV043920536 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-12 |a DE-473 | ||
| 082 | 0 | |a 330.015195 |2 21 | |
| 084 | |a QH 237 |0 (DE-625)141552: |2 rvk | ||
| 084 | |a SK 845 |0 (DE-625)143262: |2 rvk | ||
| 100 | 1 | |a Gourieroux, Christian |d 1949- |e Verfasser |4 aut | |
| 240 | 1 | 0 | |a Séries temporelles et modèles dynamiques |
| 245 | 1 | 0 | |a Time series and dynamic models |c Christian Gourieroux, Alain Monfort ; translated and edited by Giampiero M. Gallo |
| 246 | 1 | 3 | |a Time Series & Dynamic Models |
| 264 | 1 | |a Cambridge |b Cambridge University Press |c 1997 | |
| 300 | |a 1 online resource (xv, 668 pages) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Themes in modern econometrics | |
| 500 | |a Title from publisher's bibliographic system (viewed on 05 Oct 2015) | ||
| 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 | |
| 520 | |a 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 | ||
| 650 | 4 | |a Economics, Mathematical | |
| 650 | 4 | |a Econometrics | |
| 650 | 4 | |a Time-series analysis | |
| 650 | 0 | 7 | |a Dynamisches Modell |0 (DE-588)4150932-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Zeitreihe |0 (DE-588)4127298-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kalman-Filter |0 (DE-588)4130759-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Mittelwert |0 (DE-588)4130070-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Saisonbereinigungsverfahren |0 (DE-588)4178933-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Ökonometrie |0 (DE-588)4132280-0 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Zeitreihe |0 (DE-588)4127298-5 |D s |
| 689 | 0 | 1 | |a Dynamisches Modell |0 (DE-588)4150932-8 |D s |
| 689 | 0 | |8 1\p |5 DE-604 | |
| 689 | 1 | 0 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |D s |
| 689 | 1 | 1 | |a Ökonometrie |0 (DE-588)4132280-0 |D s |
| 689 | 1 | |8 2\p |5 DE-604 | |
| 689 | 2 | 0 | |a Saisonbereinigungsverfahren |0 (DE-588)4178933-7 |D s |
| 689 | 2 | |8 3\p |5 DE-604 | |
| 689 | 3 | 0 | |a Kalman-Filter |0 (DE-588)4130759-8 |D s |
| 689 | 3 | |8 4\p |5 DE-604 | |
| 689 | 4 | 0 | |a Mittelwert |0 (DE-588)4130070-1 |D s |
| 689 | 4 | |8 5\p |5 DE-604 | |
| 700 | 1 | |a Monfort, Alain |d 1943- |4 edt | |
| 700 | 1 | |a Gallo, Giampiero M. |4 edt |4 trl | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druckausgabe |z 978-0-521-41146-2 |
| 776 | 0 | 8 | |i Erscheint auch als |n Druckausgabe |z 978-0-521-42308-3 |
| 856 | 4 | 0 | |u https://doi.org/10.1017/CBO9780511628597 |x Verlag |z URL des Erstveröffentlichers |3 Volltext |
| 912 | |a ZDB-20-CBO | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-029329619 | ||
| 883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
| 883 | 1 | |8 2\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
| 883 | 1 | |8 3\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
| 883 | 1 | |8 4\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
| 883 | 1 | |8 5\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
| 966 | e | |u https://doi.org/10.1017/CBO9780511628597 |l BSB01 |p ZDB-20-CBO |q BSB_PDA_CBO |x Verlag |3 Volltext | |
| 966 | e | |u https://doi.org/10.1017/CBO9780511628597 |l UBG01 |p ZDB-20-CBO |q UBG_PDA_CBO |x Verlag |3 Volltext | |
Record in the Search Index
| _version_ | 1804176841698705408 |
|---|---|
| any_adam_object | |
| author | Gourieroux, Christian 1949- |
| author2 | Monfort, Alain 1943- Gallo, Giampiero M. Gallo, Giampiero M. |
| author2_role | edt edt trl |
| author2_variant | a m am g m g gm gmg g m g gm gmg |
| author_facet | Gourieroux, Christian 1949- Monfort, Alain 1943- Gallo, Giampiero M. Gallo, Giampiero M. |
| author_role | aut |
| author_sort | Gourieroux, Christian 1949- |
| author_variant | c g cg |
| building | Verbundindex |
| bvnumber | BV043920536 |
| classification_rvk | QH 237 SK 845 |
| collection | ZDB-20-CBO |
| 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 |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>05120nmm a2200805zc 4500</leader><controlfield tag="001">BV043920536</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">161202s1997 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780511628597</subfield><subfield code="c">Online</subfield><subfield code="9">978-0-511-62859-7</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1017/CBO9780511628597</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-20-CBO)CR9780511628597</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)967400544</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV043920536</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-12</subfield><subfield code="a">DE-473</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">330.015195</subfield><subfield code="2">21</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 237</subfield><subfield code="0">(DE-625)141552:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 845</subfield><subfield code="0">(DE-625)143262:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Gourieroux, Christian</subfield><subfield code="d">1949-</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="240" ind1="1" ind2="0"><subfield code="a">Séries temporelles et modèles dynamiques</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Time series and dynamic models</subfield><subfield code="c">Christian Gourieroux, Alain Monfort ; translated and edited by Giampiero M. Gallo</subfield></datafield><datafield tag="246" ind1="1" ind2="3"><subfield code="a">Time Series & Dynamic Models</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge</subfield><subfield code="b">Cambridge University Press</subfield><subfield code="c">1997</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource (xv, 668 pages)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Themes in modern econometrics</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Title from publisher's bibliographic system (viewed on 05 Oct 2015)</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="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</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">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</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Economics, Mathematical</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Econometrics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Time-series analysis</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Dynamisches Modell</subfield><subfield code="0">(DE-588)4150932-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4067486-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Zeitreihe</subfield><subfield code="0">(DE-588)4127298-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kalman-Filter</subfield><subfield code="0">(DE-588)4130759-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Mittelwert</subfield><subfield code="0">(DE-588)4130070-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Saisonbereinigungsverfahren</subfield><subfield code="0">(DE-588)4178933-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Ökonometrie</subfield><subfield code="0">(DE-588)4132280-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Zeitreihe</subfield><subfield code="0">(DE-588)4127298-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Dynamisches Modell</subfield><subfield code="0">(DE-588)4150932-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="8">1\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4067486-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Ökonometrie</subfield><subfield code="0">(DE-588)4132280-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="8">2\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="2" ind2="0"><subfield code="a">Saisonbereinigungsverfahren</subfield><subfield code="0">(DE-588)4178933-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2=" "><subfield code="8">3\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="3" ind2="0"><subfield code="a">Kalman-Filter</subfield><subfield code="0">(DE-588)4130759-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="3" ind2=" "><subfield code="8">4\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="4" ind2="0"><subfield code="a">Mittelwert</subfield><subfield code="0">(DE-588)4130070-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="4" ind2=" "><subfield code="8">5\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Monfort, Alain</subfield><subfield code="d">1943-</subfield><subfield code="4">edt</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Gallo, Giampiero M.</subfield><subfield code="4">edt</subfield><subfield code="4">trl</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druckausgabe</subfield><subfield code="z">978-0-521-41146-2</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druckausgabe</subfield><subfield code="z">978-0-521-42308-3</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1017/CBO9780511628597</subfield><subfield code="x">Verlag</subfield><subfield code="z">URL des Erstveröffentlichers</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-20-CBO</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-029329619</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">1\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">2\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">3\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">4\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">5\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1017/CBO9780511628597</subfield><subfield code="l">BSB01</subfield><subfield code="p">ZDB-20-CBO</subfield><subfield code="q">BSB_PDA_CBO</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1017/CBO9780511628597</subfield><subfield code="l">UBG01</subfield><subfield code="p">ZDB-20-CBO</subfield><subfield code="q">UBG_PDA_CBO</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| 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 |
| oclc_num | 967400544 |
| open_access_boolean | |
| owner | DE-12 DE-473 DE-BY-UBG |
| 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 |
| work_keys_str_mv | AT gourierouxchristian seriestemporellesetmodelesdynamiques AT monfortalain seriestemporellesetmodelesdynamiques AT gallogiampierom seriestemporellesetmodelesdynamiques AT gourierouxchristian timeseriesanddynamicmodels AT monfortalain timeseriesanddynamicmodels AT gallogiampierom timeseriesanddynamicmodels AT gourierouxchristian timeseriesdynamicmodels AT monfortalain timeseriesdynamicmodels AT gallogiampierom timeseriesdynamicmodels |