Analysis of Economic Time Series: A Synthesis

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9780125157506: Analysis of Economic Time Series: A Synthesis

In this 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.

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From the Back Cover:

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

Review:

"The authors clearly reveal their mastery of the area."
--TECHNOMETRICS
"Besides offering the convenience of a one-volume collection, the books format provides the authors with the opportunity to engage in discursive essays, which are often insightful and stimulating... The balance between theory and examples makes it an attractive book for use in a special topics course."
--JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

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Nerlove, Marc
Published by Academic Pr (1979)
ISBN 10: 0125157509 ISBN 13: 9780125157506
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Book Description Academic Pr, 1979. Hardcover. Book Condition: New. Bookseller Inventory # P110125157509

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2.

Marc Nerlove
Published by Academic Pr (1979)
ISBN 10: 0125157509 ISBN 13: 9780125157506
New Hardcover Quantity Available: 1
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Ergodebooks
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Book Description Academic Pr, 1979. Hardcover. Book Condition: New. Bookseller Inventory # DADAX0125157509

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