Time series: theory and methods
by Davis, Richard A., Brockwell, Peter J.
fromSpringer Series in Statistics
Presenting the most recent development in econometrics, the unit-root field including error correction and co-integration, this text explains statistical procedures in detail, and emphasises the results of applications.
Presenting the most recent development in econometrics, the unit-root field including error correction and co-integration, this text explains statistical procedures in detail, and emphasises the results of applications.
This monograph relates cointegration to economic theories and describes cointegrated regression as a revolution in econometric methods for macroeconomics. It provides a guide for the selection of appropriate inference methods to study macroeconomic relations.
Modelling trends and cycles in economic time series has a long history, with the use of linear trends and moving averages forming the basic tool kit of economists until the 1970s. Several developments in econometrics then led to an overhaul of the techniques used to extract tren…
This book provides a comprehensive introduction to the theory and practice of time series analysis. A wide range of topics is covered including ARIMA probability models, forecasting methods (including exponential smoothing and Box-Jenkins), spectral analysis, linear systems, sta…
Singular spectrum analysis (SSA) is a technique of time series analysis and forecasting combining elements of classical time series analysis, multivariate statistics, multivariate geometry, dynamical systems and signal processing. SSA seeks to decompose the original series into …
