Time Series Analysis Forecasting And Econometric Modeling
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Author | : Klaus Neusser |
Publisher | : Springer |
Total Pages | : 421 |
Release | : 2016-06-14 |
Genre | : Business & Economics |
ISBN | : 331932862X |
This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students.
Author | : C. W. J. Granger |
Publisher | : Academic Press |
Total Pages | : 353 |
Release | : 2014-05-10 |
Genre | : Business & Economics |
ISBN | : 1483273245 |
Economic Theory, Econometrics, and Mathematical Economics, Second Edition: Forecasting Economic Time Series presents the developments in time series analysis and forecasting theory and practice. This book discusses the application of time series procedures in mainstream economic theory and econometric model building. Organized into 10 chapters, this edition begins with an overview of the problem of dealing with time series possessing a deterministic seasonal component. This text then provides a description of time series in terms of models known as the time-domain approach. Other chapters consider an alternative approach, known as spectral or frequency-domain analysis, that often provides useful insights into the properties of a series. This book discusses as well a unified approach to the fitting of linear models to a given time series. The final chapter deals with the main advantage of having a Gaussian series wherein the optimal single series, least-squares forecast will be a linear forecast. This book is a valuable resource for economists.
Author | : Philip Hans Franses |
Publisher | : Cambridge University Press |
Total Pages | : 421 |
Release | : 2014-04-24 |
Genre | : Business & Economics |
ISBN | : 1139952129 |
With a new author team contributing decades of practical experience, this fully updated and thoroughly classroom-tested second edition textbook prepares students and practitioners to create effective forecasting models and master the techniques of time series analysis. Taking a practical and example-driven approach, this textbook summarises the most critical decisions, techniques and steps involved in creating forecasting models for business and economics. Students are led through the process with an entirely new set of carefully developed theoretical and practical exercises. Chapters examine the key features of economic time series, univariate time series analysis, trends, seasonality, aberrant observations, conditional heteroskedasticity and ARCH models, non-linearity and multivariate time series, making this a complete practical guide. Downloadable datasets are available online.
Author | : Terence C. Mills |
Publisher | : Academic Press |
Total Pages | : 354 |
Release | : 2019-01-24 |
Genre | : Business & Economics |
ISBN | : 0128131179 |
Written for those who need an introduction, Applied Time Series Analysis reviews applications of the popular econometric analysis technique across disciplines. Carefully balancing accessibility with rigor, it spans economics, finance, economic history, climatology, meteorology, and public health. Terence Mills provides a practical, step-by-step approach that emphasizes core theories and results without becoming bogged down by excessive technical details. Including univariate and multivariate techniques, Applied Time Series Analysis provides data sets and program files that support a broad range of multidisciplinary applications, distinguishing this book from others.
Author | : Michael Clements |
Publisher | : Cambridge University Press |
Total Pages | : 402 |
Release | : 1998-10-08 |
Genre | : Business & Economics |
ISBN | : 9780521634809 |
This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a non-constant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted.
Author | : Eric Ghysels |
Publisher | : Oxford University Press |
Total Pages | : 617 |
Release | : 2018 |
Genre | : Business & Economics |
ISBN | : 0190622016 |
Economic forecasting is a key ingredient of decision making in the public and private sectors. This book provides the necessary tools to solve real-world forecasting problems using time-series methods. It targets undergraduate and graduate students as well as researchers in public and private institutions interested in applied economic forecasting.
Author | : Andrew C. Harvey |
Publisher | : Cambridge University Press |
Total Pages | : 574 |
Release | : 1990 |
Genre | : Business & Economics |
ISBN | : 9780521405737 |
A synthesis of concepts and materials, that ordinarily appear separately in time series and econometrics literature, presents a comprehensive review of theoretical and applied concepts in modeling economic and social time series.
Author | : Ignacio Rojas |
Publisher | : Springer |
Total Pages | : 332 |
Release | : 2018-10-03 |
Genre | : Business & Economics |
ISBN | : 3319969447 |
This book presents selected peer-reviewed contributions from the International Work-Conference on Time Series, ITISE 2017, held in Granada, Spain, September 18-20, 2017. It discusses topics in time series analysis and forecasting, including advanced mathematical methodology, computational intelligence methods for time series, dimensionality reduction and similarity measures, econometric models, energy time series forecasting, forecasting in real problems, online learning in time series as well as high-dimensional and complex/big data time series. The series of ITISE conferences provides a forum for scientists, engineers, educators and students to discuss the latest ideas and implementations in the foundations, theory, models and applications in the field of time series analysis and forecasting. It focuses on interdisciplinary and multidisciplinary research encompassing computer science, mathematics, statistics and econometrics.
Author | : Michael P. Clements |
Publisher | : MIT Press |
Total Pages | : 398 |
Release | : 1999 |
Genre | : Business & Economics |
ISBN | : 9780262531894 |
This text on economic forecasting asks why some practices seem to work empirically despite a lack of formal support from theory. After reviewing the conventional approach to forecasting, it looks at the implications for causal modelling, presents forecast errors and delineates sources of failure.
Author | : Christian Kleiber |
Publisher | : Springer Science & Business Media |
Total Pages | : 229 |
Release | : 2008-12-10 |
Genre | : Business & Economics |
ISBN | : 0387773185 |
R is a language and environment for data analysis and graphics. It may be considered an implementation of S, an award-winning language initially - veloped at Bell Laboratories since the late 1970s. The R project was initiated by Robert Gentleman and Ross Ihaka at the University of Auckland, New Zealand, in the early 1990s, and has been developed by an international team since mid-1997. Historically, econometricians have favored other computing environments, some of which have fallen by the wayside, and also a variety of packages with canned routines. We believe that R has great potential in econometrics, both for research and for teaching. There are at least three reasons for this: (1) R is mostly platform independent and runs on Microsoft Windows, the Mac family of operating systems, and various ?avors of Unix/Linux, and also on some more exotic platforms. (2) R is free software that can be downloaded and installed at no cost from a family of mirror sites around the globe, the Comprehensive R Archive Network (CRAN); hence students can easily install it on their own machines. (3) R is open-source software, so that the full source code is available and can be inspected to understand what it really does, learn from it, and modify and extend it. We also like to think that platform independence and the open-source philosophy make R an ideal environment for reproducible econometric research.