Time series

Author(s)

• Harvey, A. C. (Andrew C.)

Bibliographic Information

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

Note

Includes index

Description and Table of Contents

Description

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.

Table of Contents

• 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.

by "Nielsen BookData"

Details

• NCID: BA24163127
• ISBN:
  • 1852786620
• Country Code: uk
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Aldershot, Hants, England ; Brookfield, Vt., USA
• Pages/Volumes: 2 v.
• Size: 25 cm
• Classification:
  • NDC8 : 331.19
• Parent Bibliography ID:
  • BA19368583
  • BA10867755