Multivariate Modelling Of Non Stationary Economic Time Series
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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.
Modelling Non Stationary Economic Time Series
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Author : S. Burke
language : en
Publisher: Springer
Release Date : 2005-06-14
Modelling Non Stationary Economic Time Series written by S. Burke and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-06-14 with Business & Economics categories.
Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems. This book provides direction and guidance to the now vast literature facing students and graduate economists. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural breaks associated with regime changes and what to do when variables are of different orders of integration.
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.
The Siml Filtering Method For Noisy Non Stationary Economic Time Series
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Author : Naoto Kunitomo
language : en
Publisher: Springer Nature
Release Date : 2025-03-03
The Siml Filtering Method For Noisy Non Stationary Economic Time Series written by Naoto Kunitomo and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-03-03 with Mathematics categories.
In this book, we explain the development of a new filtering method to estimate the hidden states of random variables for multiple non-stationary time series data. This method is particularly helpful in analyzing small-sample non-stationary macro-economic time series. The method is based on the frequency-domain application of the separating information maximum likelihood (SIML) method, which was proposed by Kunitomo, Sato, and Kurisu (Springer, 2018) for financial high-frequency time series. We solve the filtering problem of hidden random variables of trend-cycle, seasonal, and measurement-error components and propose a method to handle macro-economic time series. The asymptotic theory based on the frequency-domain analysis for non-stationary time series is developed with illustrative applications, including properties of the method of Muller and Watson (2018), and analyses of macro-economic data in Japan. Vast research has been carried out on the use of statistical time series analysis for macro-economic time series. One important feature of the series, which is different from standard statistical time series analysis, is that the observed time series is an apparent mixture of non-stationary and stationary components. We apply the SIML method for estimating the non-stationary errors-in-variables models. As well, we discuss the asymptotic and finite sample properties of the estimation of unknown parameters in the statistical models. Finally, we utilize their results to solve the filtering problem of hidden random variables and to show that they lead to new a way to handle macro-economic time series.
The Practice Of Time Series Analysis
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Author : Hirotugu Akaike
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
The Practice Of Time Series Analysis written by Hirotugu Akaike 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 2012-12-06 with Mathematics categories.
Due to the introduction of the information criterion AIC and development of prac tical use of Bayesian modeling, the method of time analysis is now showing remarkable progress. In attempting the study of a new field the actual phenomenon is rarely so simple as to allow direct applications of existing methods of analysis or models. The real thrill of the statistical analysis lies in the process of developing a new model depending on the purpose and the characteristics of the object of the research. The purpose of this book ist.o introduce the readers to successful applications of the meth ods of time series analysis in a variety of fields, such as engineering, earth science, medical science, biology, and economics. The editors have been aware of the importance of cooperative research in sta tistical science and carried out various cooperative research projects in the area of time series analysis. The Institute of Statistical Mathematics was reorganized as an inter-university research institute in 1985 and the activities of the Institute have been organized to promote the cooperative researches as its central activity. This book is composed of the outcomes of cooperative researches developed within this environ ment and contains the results ranging from the pioneering realizations of statistical control to the latest consequences of time series modeling.
The Routledge Handbook Of Agricultural Economics
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Author : Gail L. Cramer
language : en
Publisher: Routledge
Release Date : 2018-07-23
The Routledge Handbook Of Agricultural Economics written by Gail L. Cramer and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-23 with Business & Economics categories.
This Handbook offers an up-to-date collection of research on agricultural economics. Drawing together scholarship from experts at the top of their profession and from around the world, this collection provides new insights into the area of agricultural economics. The Routledge Handbook of Agricultural Economics explores a broad variety of topics including welfare economics, econometrics, agribusiness, and consumer economics. This wide range reflects the way in which agricultural economics encompasses a large sector of any economy, and the chapters present both an introduction to the subjects as well as the methodology, statistical background, and operations research techniques needed to solve practical economic problems. In addition, food economics is given a special focus in the Handbook due to the recent emphasis on health and feeding the world population a quality diet. Furthermore, through examining these diverse topics, the authors seek to provide some indication of the direction of research in these areas and where future research endeavors may be productive. Acting as a comprehensive, up-to-date, and definitive work of reference, this Handbook will be of use to researchers, faculty, and graduate students looking to deepen their understanding of agricultural economics, agribusiness, and applied economics, and the interrelationship of those areas.
Advances In Data Science Cyber Security And It Applications
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Author : Auhood Alfaries
language : en
Publisher: Springer Nature
Release Date : 2019-12-20
Advances In Data Science Cyber Security And It Applications written by Auhood Alfaries and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-12-20 with Computers categories.
This book constitutes the refereed proceedings of the First International Conference on Intelligent Cloud Computing, ICC 2019, held in Riyadh, Saudi Arabia, in December 2019. The two-volume set presents 53 full papers, which were carefully reviewed and selected from 174 submissions. The papers are organized in topical sections on Cyber Security; Data Science; Information Technology and Applications; Network and IoT.
The Analysis Of Time Series
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Author : Chris Chatfield
language : en
Publisher: CRC Press
Release Date : 2019-04-25
The Analysis Of Time Series 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 2019-04-25 with Mathematics categories.
This new edition of this classic title, now in its seventh edition, presents a balanced and comprehensive introduction to the theory, implementation, and practice of time series analysis. The book covers a wide range of topics, including ARIMA models, forecasting methods, spectral analysis, linear systems, state-space models, the Kalman filters, nonlinear models, volatility models, and multivariate models.
Mathematical Models In Economics Volume I
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Author : Wei-Bin Zhang
language : en
Publisher: EOLSS Publications
Release Date : 2009-06-10
Mathematical Models In Economics Volume I written by Wei-Bin Zhang and has been published by EOLSS Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-10 with Economics categories.
Mathematical Models in Economics is a component of Encyclopedia of Mathematical Sciences in which is part of the global Encyclopedia of Life Support Systems (EOLSS), an integrated compendium of twenty one Encyclopedias. This theme is organized into several different topics and introduces the applications of mathematics to economics. Mathematical economics has experienced rapid growth, generating many new academic fields associated with the development of mathematical theory and computer. Mathematics is the backbone of modern economics. It plays a basic role in creating ideas, constructing new theories, and empirically testing ideas and theories. Mathematics is now an integral part of economics. The main advances in modern economics are characterized by applying mathematics to various economic problems. Many of today's profound insights into economic problems could hardly be obtained without the help of mathematics. The concepts of equilibrium versus non-equilibrium, stability versus instability, and steady states versus chaos in the contemporary literature are difficult to explain without mathematics. The theme discusses on modern versions of some classical economic theories, taking account of balancing between significance of economic issues and mathematical techniques. These two volumes are aimed at the following five major target audiences: University and College students Educators, Professional practitioners, Research personnel and Policy analysts, managers, and decision makers and NGOs.
Integrated Risk Of Pandemic Covid 19 Impacts Resilience And Recommendations
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Author : Manish Kumar Goyal
language : en
Publisher: Springer Nature
Release Date : 2020-10-31
Integrated Risk Of Pandemic Covid 19 Impacts Resilience And Recommendations written by Manish Kumar Goyal and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-10-31 with Medical categories.
In light of the novel corona virus outbreak in December 2019 and its subsequent impact on entire world as a global pandemic, the book attempts to provide integrated risk assessment on Covid -19 like pandemics, as well as to understand the societal, environment and economic impact of the outbreak in various sectors of development. It covers fundamental factors of global disease outbreaks and its coverage as major disaster through the complexity and severity of consequences, illustrating the dimensions of low frequency high intensity disasters. It brings together broad range of topics including basic concepts, isolation measure, role of governance and key technical advancements for containing the diseases. In addition, it also covers resilience analysis towards the impacts such outbreaks have on bio-diversity, ecosystem services and agricultural food production. It defines key exit strategies from the lessons learned and success stories of historical disease outbreaks. The book is presented in four parts, where part 1 familiarizes with fundamentals; part 2 focuses on integrated risk assessments; part 3 focuses on various measures and strategies of resilience; and part 4 suggests key lessons and recommendations. The book is a useful reading reference for scientific community, policy makers and professionals across the domains of health, environment, disasters and sustainable development. Book is specifically beneficial for postgraduate students, researchers, planners and field professionals.