Introduction to Modern Time Series Analysis
by Gebhard Kirchgässner, Jürgen Wolters, Uwe Hassler
| Year of publication: |
2013 ; 2nd ed. 2013
|
|---|---|
| Authors: | Kirchgässner, Gebhard |
| Other Persons: | Wolters, Jürgen (contributor) ; Hassler, Uwe (contributor) |
| Publisher: |
Berlin : Springer |
| Subject: | Zeitreihenanalyse | Time series analysis | Ökonometrie | Econometrics |
| Description of contents: | Table of Contents [d-nb.info] ; Description [swbplus.bsz-bw.de] ; Description [zbmath.org] ; Description [deposit.dnb.de] |
| Extent: | Online-Ressource (XII, 319 p. 42 illus, digital) |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Description based upon print version of record ""Introduction to Modern Time Series Analysis ""; ""Preface to the Second Edition""; ""Preface to the First Edition""; ""Contents""; ""1 Introduction and Basics""; ""1.1 The Historical Development of Time Series Analysis""; ""1.2 Graphical Representations of Economic Time Series""; ""1.3 The Lag Operator""; ""1.4 Ergodicity and Stationarity""; ""Example 1.1""; ""Example 1.2""; ""Example 1.3""; ""1.5 The Wold Decomposition""; ""References""; ""2 Univariate Stationary Processes""; ""2.1 Autoregressive Processes""; ""2.1.1 First Order Autoregressive Processes"" ""Derivation of Wold�s Representation""""The Lag Operator""; ""Calculation of Moments""; ""An Alternative Method for the Calculation of Moments""; ""The Autocorrelogram""; ""Example 2.1""; ""Example 2.2""; ""Stability Conditions""; ""Example 2.3""; ""2.1.2 Second Order Autoregressive Processes""; ""Example 2.4""; ""Example 2.5""; ""Example 2.6""; ""2.1.3 Higher Order Autoregressive Processes""; ""Example 2.7""; ""2.1.4 The Partial Autocorrelation Function""; ""Example 2.8""; ""2.1.5 Estimating Autoregressive Processes""; ""Example 2.9""; ""2.2 Moving Average Processes"" ""2.2.1 First Order Moving Average Processes""""Example 2.10""; ""2.2.2 MA(1) and Temporal Aggregation""; ""Example 2.11""; ""Example 2.12""; ""2.2.3 Higher Order Moving Average Processes""; ""Example 2.13""; ""2.3 Mixed Processes""; ""2.3.1 ARMA(1,1) Processes""; ""2.3.2 ARMA(p,q) Processes""; ""Example 2.15""; ""2.4 Forecasting""; ""2.4.1 Forecasts with Minimal Mean Squared Errors""; ""2.4.2 Forecasts of ARMA(p,q) Processes""; ""Forecasts with a Stationary AR(1) Process""; ""Forecasts with Stationary AR(p) Processes""; ""Forecasts with an Invertible MA(1) Process"" ""Forecasts with ARMA(p,q) Processes""""2.4.3 Evaluation of Forecasts""; ""Example 2.16""; ""2.5 The Relation between Econometric Models and ARMA Processes""; ""References""; ""3 Granger Causality""; ""3.1 The Definition of Granger Causality""; ""3.2 Characterisation of Causal Relations in Bivariate Models""; ""3.2.1 Characterisation of Causal Relations Using the Autoregressive and Moving Average Representations""; ""3.2.2 Characterisation of Causal Relations Using the Residuals of the Univariate Processes""; ""3.3 Causality Tests""; ""3.3.1 The Direct Granger Procedure""; ""Example 3.1"" ""3.3.2 The Haugh-Pierce Test""""Example 3.2""; ""3.3.3 The Hsiao Procedure""; ""Example 3.3""; ""3.4 Applying Causality Tests in a Multivariate Setting""; ""3.4.1 The Direct Granger Procedure with More Than Two Variables""; ""Example 3.4""; ""Example 3.5""; ""3.4.2 Interpreting the Results of Bivariate Tests in Systems With More Than Two Variables""; ""3.5 Concluding Remarks""; ""References""; ""4 Vector Autoregressive Processes""; ""4.1 Representation of the System""; ""Example 4.1""; ""Example 4.2""; ""Example 4.3""; ""Example 4.4""; ""4.2 Granger Causality""; ""Example 4.5"" ""4.3 Impulse Response Analysis"" |
| ISBN: | 978-3-642-33436-8 ; 978-3-642-33435-1 |
| Other identifiers: | 10.1007/978-3-642-33436-8 [DOI] |
| Classification: | Methoden und Techniken der Volkswirtschaft ; Mathematische Statistik ; Wahrscheinlichkeitsrechnung |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014016221