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Temporal Aggregation And Systematic Sampling In Structural Time Series Models
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Book Synopsis Forecasting, Structural Time Series Models and the Kalman Filter by : Andrew C. Harvey
Download or read book Forecasting, Structural Time Series Models and the Kalman Filter written by Andrew C. Harvey and published by Cambridge University Press. This book was released on 1990 with total page 574 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Structural Vector Autoregressive Analysis by : Lutz Kilian
Download or read book Structural Vector Autoregressive Analysis written by Lutz Kilian and published by Cambridge University Press. This book was released on 2017-11-23 with total page 757 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This book not only reviews the many alternative structural VAR approaches discussed in the literature, but also highlights their pros and cons in practice. It provides guidance to empirical researchers as to the most appropriate modeling choices, methods of estimating, and evaluating structural VAR models. The book traces the evolution of the structural VAR methodology and contrasts it with other common methodologies, including dynamic stochastic general equilibrium (DSGE) models. It is intended as a bridge between the often quite technical econometric literature on structural VAR modeling and the needs of empirical researchers. The focus is not on providing the most rigorous theoretical arguments, but on enhancing the reader's understanding of the methods in question and their assumptions. Empirical examples are provided for illustration.
Book Synopsis Palgrave Handbook of Econometrics by : Terence C. Mills
Download or read book Palgrave Handbook of Econometrics written by Terence C. Mills and published by Springer. This book was released on 2009-06-25 with total page 1406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.
Book Synopsis Introduction to Multiple Time Series Analysis by : Helmut Lütkepohl
Download or read book Introduction to Multiple Time Series Analysis written by Helmut Lütkepohl and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 556 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis State-Space Methods for Time Series Analysis by : Jose Casals
Download or read book State-Space Methods for Time Series Analysis written by Jose Casals and published by CRC Press. This book was released on 2018-09-03 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: The state-space approach provides a formal framework where any result or procedure developed for a basic model can be seamlessly applied to a standard formulation written in state-space form. Moreover, it can accommodate with a reasonable effort nonstandard situations, such as observation errors, aggregation constraints, or missing in-sample values. Exploring the advantages of this approach, State-Space Methods for Time Series Analysis: Theory, Applications and Software presents many computational procedures that can be applied to a previously specified linear model in state-space form. After discussing the formulation of the state-space model, the book illustrates the flexibility of the state-space representation and covers the main state estimation algorithms: filtering and smoothing. It then shows how to compute the Gaussian likelihood for unknown coefficients in the state-space matrices of a given model before introducing subspace methods and their application. It also discusses signal extraction, describes two algorithms to obtain the VARMAX matrices corresponding to any linear state-space model, and addresses several issues relating to the aggregation and disaggregation of time series. The book concludes with a cross-sectional extension to the classical state-space formulation in order to accommodate longitudinal or panel data. Missing data is a common occurrence here, and the book explains imputation procedures necessary to treat missingness in both exogenous and endogenous variables. Web Resource The authors’ E4 MATLAB® toolbox offers all the computational procedures, administrative and analytical functions, and related materials for time series analysis. This flexible, powerful, and free software tool enables readers to replicate the practical examples in the text and apply the procedures to their own work.
Book Synopsis International Journal of Production Economics by :
Download or read book International Journal of Production Economics written by and published by . This book was released on 2004 with total page 764 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis New Introduction to Multiple Time Series Analysis by : Helmut Lütkepohl
Download or read book New Introduction to Multiple Time Series Analysis written by Helmut Lütkepohl and published by Springer Science & Business Media. This book was released on 2007-07-26 with total page 792 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.
Book Synopsis Temporal Aggregation of Univariate and Multivariate Time Series Models by : Andrea Silvestrini
Download or read book Temporal Aggregation of Univariate and Multivariate Time Series Models written by Andrea Silvestrini and published by . This book was released on 2008 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Economic Forecasting by : G. Elliott
Download or read book Handbook of Economic Forecasting written by G. Elliott and published by Elsevier. This book was released on 2006-07-14 with total page 1071 pages. Available in PDF, EPUB and Kindle. Book excerpt: Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.
Download or read book Journal of Housing Research written by and published by . This book was released on 2006 with total page 1430 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Research Methods and Applications in Empirical Macroeconomics by : Nigar Hashimzade
Download or read book Handbook of Research Methods and Applications in Empirical Macroeconomics written by Nigar Hashimzade and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.
Book Synopsis Applied Time Series Analysis by : Terence C. Mills
Download or read book Applied Time Series Analysis written by Terence C. Mills and published by Academic Press. This book was released on 2019-01-22 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. - Focuses on practical application of time series analysis, using step-by-step techniques and without excessive technical detail - Supported by copious disciplinary examples, helping readers quickly adapt time series analysis to their area of study - Covers both univariate and multivariate techniques in one volume - Provides expert tips on, and helps mitigate common pitfalls of, powerful statistical software including EVIEWS and R - Written in jargon-free and clear English from a master educator with 30 years+ experience explaining time series to novices - Accompanied by a microsite with disciplinary data sets and files explaining how to build the calculations used in examples
Download or read book المجلة الإحصائية المصرية written by and published by . This book was released on 1996 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Political Analysis by : Walter R. Mebane
Download or read book Political Analysis written by Walter R. Mebane and published by University of Michigan Press. This book was released on 1999 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discusses some of the latest developments in political methodology
Book Synopsis Journal of Economic and Social Measurement by :
Download or read book Journal of Economic and Social Measurement written by and published by . This book was released on 1993 with total page 744 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time Series Analysis for the Social Sciences by : Janet M. Box-Steffensmeier
Download or read book Time Series Analysis for the Social Sciences written by Janet M. Box-Steffensmeier and published by Cambridge University Press. This book was released on 2014-12-22 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides instruction and examples of the core methods in time series econometrics, drawing from several main fields of the social sciences.
Book Synopsis Statistical Theory and Method Abstracts by :
Download or read book Statistical Theory and Method Abstracts written by and published by . This book was released on 1993 with total page 564 pages. Available in PDF, EPUB and Kindle. Book excerpt:
