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Item Details
| Title:
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ANALYSIS OF ECONOMIC TIME SERIES
A SYNTHESIS |
| By: |
Marc Nerlove (Editor), David M. Grether (Editor), Jose L. Carvalho (Editor) |
| Format: |
Paperback |
| List price:
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£51.95 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
0125157517 |
| ISBN 13: |
9780125157513 |
| Publisher: |
EMERALD PUBLISHING LIMITED |
| Pub. date: |
12 September, 1995 |
| Edition: |
2nd edition |
| Series: |
Economic Theory, Econometrics, and Mathematical Economics |
| Pages: |
468 |
| Description: |
Illustrates techniques of spectral analysis and methods based on parametric models in the analysis of economic time series. This book provides a means and a method for incorporating economic intuition and theory in the formulation of time-series models useful in the formulation and estimation of distributed lag models, and in other applications. |
| Synopsis: |
In this edition which has been reprinted with corrections, Nerlove and his co-authors illustrate techniques of spectral analysis and methods based on parametric models in the analysis of economic time series. The book provides a means and a method for incorporating economic intuition and theory in the formulation of time-series models useful in forecasting, in the formulation and estimation of distributed lag models, and in other applications, such as seasonal adjustment. "Analysis of Economic Time Series" is a useful primary text for graduate students and an attractive reference for researchers. It presents a self-contained treatment of Fourier Analysis and complex variables, as well as Spectral Analysis of time series. It includes a detailed treatment of unobserved-components (UC) models and their time-series properties by means of covariance-generating transforms. It provides the formulation and maximum-likelihood estimation of ARMA and UC models in both time and frequency domains. It integrates several topics in time-series analysis: The formulation and estimation of distributed-lag models of dynamic economic behavior; The application of the techniques of spectral analysis in the study of behavior of economic time series; Unobserved-components models for economic time series and the closely related problem of seasonal adjustment; The complimentarities between time-domain and frequency-domain approaches to the analysis of economic time series; and historical contributions extending from the time of Charles Babbage and the Edinburgh Review to the present. It treats spectral analysis and Box-Jenkins models for an intuitive but rigorous point of view. It shows how these two types of analysis may be synthesized so that they complement one another. It describes a new type of model, based on a superposition of Box-Jenkins models, that captures the essential idea of the unobserved-components models long used in the analysis of economic time series. It applies multiple time-series techniques to the estimation of a novel dynamic model of the US cattle industry. |
| Publication: |
UK |
| Imprint: |
Academic Press Inc |
| Returns: |
Non-returnable |
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