Essays On Forecasting Stationary And Nonstationary Economic Time Series
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Essays On Forecasting Stationary And Nonstationary Economic Time Series
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Author : Lance Joseph Bachmeier
language : en
Publisher:
Release Date : 2002
Essays On Forecasting Stationary And Nonstationary Economic Time Series written by Lance Joseph Bachmeier and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Forecasting Non Stationary Economic Time Series
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Author : Michael P. Clements
language : en
Publisher: MIT Press
Release Date : 1999
Forecasting Non Stationary Economic Time Series written by Michael P. Clements and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
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.
Essays In Forecasting Stationary And Nonstationary Stochastic Processes
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Author : Norman R. Swanson
language : en
Publisher:
Release Date : 1994
Essays In Forecasting Stationary And Nonstationary Stochastic Processes written by Norman R. Swanson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Forecasting categories.
Introduction To Modern Time Series Analysis
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Author : Gebhard Kirchgässner
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-10-09
Introduction To Modern Time Series Analysis written by Gebhard Kirchgässner and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-09 with Business & Economics categories.
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.
Multivariate Modelling Of Non Stationary Economic Time Series
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Author : John Hunter
language : en
Publisher: Springer
Release Date : 2017-05-08
Multivariate Modelling Of Non Stationary Economic Time Series written by John Hunter and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-05-08 with Business & Economics categories.
This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models. The authors provide a detailed and extensive study of impulse responses and forecasting in the stationary and non-stationary context, considering small sample correction, volatility and the impact of different orders of integration. Models with expectations are considered along with alternate methods such as Singular Spectrum Analysis (SSA), the Kalman Filter and Structural Time Series, all in relation to cointegration. Using single equations methods to develop topics, and as examples of the notion of cointegration, Burke, Hunter, and Canepa provide direction and guidance to the now vast literature facing students and graduate economists.
Forecasting Economic Time Series
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Author : Michael Clements
language : en
Publisher: Cambridge University Press
Release Date : 1998-10-08
Forecasting Economic Time Series written by Michael Clements and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-10-08 with Business & Economics categories.
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.
Time Series Forecasting
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Author : Chris Chatfield
language : en
Publisher: CRC Press
Release Date : 2000-10-25
Time Series Forecasting written by Chris Chatfield and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-10-25 with Business & Economics categories.
From the author of the bestselling "Analysis of Time Series," Time-Series Forecasting offers a comprehensive, up-to-date review of forecasting methods. It provides a summary of time-series modelling procedures, followed by a brief catalogue of many different time-series forecasting methods, ranging from ad-hoc methods through ARIMA and state-space
Time Series Models For Business And Economic Forecasting
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Author : Philip Hans Franses
language : en
Publisher: Cambridge University Press
Release Date : 1998-10-15
Time Series Models For Business And Economic Forecasting written by Philip Hans Franses and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-10-15 with Business & Economics categories.
An introduction to time series models for business and economic forecasting.
Essays On The Estimation And Inference In Non Stationary Time Series Models
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Author : Niels Haldrup
language : en
Publisher:
Release Date : 1996
Essays On The Estimation And Inference In Non Stationary Time Series Models written by Niels Haldrup and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Forecasting Economic Time Series
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Author : Clive William John Granger
language : en
Publisher:
Release Date : 1977
Forecasting Economic Time Series written by Clive William John Granger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1977 with Business & Economics categories.
This book has been updated to reflect developments in time series analysis and forecasting theory and practice, particularly as applied to economics. The second edition pays attention to such problems as how to evaluate and compare forecasts.