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Synopsis
Cointegration relationships or common trends detection has been undertaken mainly by VARMA representation of stochastic processes, while the specialized literature has paid less attention to the state-space modeling, although it presents computationals and analytical advantages that justify its study. This paper will focus on the state-space analysis of nonstationarity series. The justification of the method and its algorithms will be exposed and an alternative approach to the classical Johansen or Beveridge and Nelson methods is proposed.
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Statistics Department. University of Castilla-La Mancha (Spain).
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STATE SPACE REPRESENTATION OF ECONOMIC TIME SERIES
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Vargas-Vargas ManuelStatistics Department. University of Castilla-La Mancha (Spain).Cointegration relationships or common trends detection has been undertaken mainly by VARMA representation of stochastic processes, while the s. Seller Inventory # 151369376
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STATE SPACE REPRESENTATION OF ECONOMIC TIME SERIES | State-Space Modeling
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Taschenbuch. Condition: Neu. STATE SPACE REPRESENTATION OF ECONOMIC TIME SERIES | State-Space Modeling | Manuel Vargas-Vargas | Taschenbuch | Englisch | VDM Verlag Dr. Müller | EAN 9783639188486 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Seller Inventory # 113175445
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STATE SPACE REPRESENTATION OF ECONOMIC TIME SERIES: State-Space Modeling
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STATE SPACE REPRESENTATION OF ECONOMIC TIME SERIES: State-Space Modeling
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