Nerlove, Marc; Grether, David; Carvalho, Jose L.
Analysis of Economic Time Series, Revised Edition: A Synthesis (Economic Theory, Econometrics, and Mathematical Economics) (Economic Theory, Econometrics, & Mathematical Economics)
# ISBN 13: 9780125157513

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.

*"synopsis" may belong to another edition of this title.*

In this updated edition, 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 that are 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** will be a useful primary text for graduate students and an attractive reference for researchers.

Key Features

* Presents a self-contained treatment of Fourier analysis and complex variables, as well as spectral analysis of time series

* Includes a detailed treatment of unobserved-components (UC) models and their time-series properties by means of covariance-generating transforms

* Provides the formulation and maximum-likelihood estimation of ARMA and UC models in both time and frequency domains

* Integrates several topics in time-series analysis, including:

* 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

*"About this title" may belong to another edition of this title.*

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Emerald Group Publishing

ISBN 10: 0125157517
ISBN 13: 9780125157513

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**Book Description **Emerald Group Publishing. PAPERBACK. Book Condition: New. 0125157517 Brand new still wrapped in the plastic paperback book. Bookseller Inventory # SKU1002467

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Published by
Emerald Group Publishing
(1995)

ISBN 10: 0125157517
ISBN 13: 9780125157513

New
Paperback
Quantity Available: 1

Seller

Rating

**Book Description **Emerald Group Publishing, 1995. Paperback. Book Condition: New. Rev Sub. Bookseller Inventory # DADAX0125157517

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