Time series

著者

• Harvey, A. C. (Andrew C.)

書誌事項

Time series

edited by Andrew Harvey

（The international library of critical writings in econometrics, 5）（An Elgar reference collection）

Edward Elgar, c1994

• : set
• v. 1
• v. 2

注記

Includes index

内容説明・目次

内容説明

The last 20 years have witnessed a considerable increase in the use of time series techniques in econometrics. The articles in this important set have been chosen to illustrate the main themes in time series work as it relates to econometrics. The editor has written a new concise introduction to accompany the articles. Sections covered include: Ad Hoc Forecasting Procedures, ARIMA Modelling, Structural Time Series Models, Unit Roots, Detrending and Non-stationarity, Seasonality, Seasonal Adjustment and Calendar Effects, Dynamic Regression and Intervention Analysis, Multivariate Models, Causality, Exogeneity and Expectations, State Space Models and the Kalman Filter, Non-Linear and Non-Gaussian Models.

目次

• Ad hoc forecasting procedures
• Arima modelling
• structural time series models: unit roots, detrending and non-stationarity
• seasonality, seasonal adjustment and calendar effects
• dynamic regression and intervention analysis
• multivariate models
• causality, exogeneity and expectations
• state space models and the Kalman filter
• non-linear and non-Gaussian models.

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BA24163127
• ISBN:
  • 1852786620
• 出版国コード: uk
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Aldershot, Hants, England ; Brookfield, Vt., USA
• ページ数/冊数: 2 v.
• 大きさ: 25 cm
• 分類:
  • NDC8 : 331.19
• 親書誌ID:
  • BA19368583
  • BA10867755