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Time Series and Dynamic Models Book

Time Series and Dynamic Models
Time Series and Dynamic Models, , Time Series and Dynamic Models has a rating of 3 stars
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Time Series and Dynamic Models, , Time Series and Dynamic Models
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Digital Copy
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  • Time Series and Dynamic Models
  • Written by author Christian Gourieroux
  • Published by Cambridge University Press, January 1996
  • An up-to-date and comprehensive analysis of traditional and modern time series econometrics.
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Authors

Preface
Ch. 1Introduction1
Ch. 2Linear Regression for Seasonal Adjustment19
Ch. 3Moving Averages for Seasonal Adjustment49
Ch. 4Exponential Smoothing Methods98
Ch. 5Some Results on the Univariate Processes119
Ch. 6The Box and Jenkins Method for Forecasting179
Ch. 7Multivariate Time Series223
Ch. 8Time-series Representations250
Ch. 9Estimation and Testing (Stationary Case)302
Ch. 10Causality, Exogeneity, and Shocks355
Ch. 11Trend Components410
Ch. 12Expectations455
Ch. 13Specification Analysis494
Ch. 14Statistical Properties of Nonstationary Processes526
Ch. 15State-space Models and the Kalman Filter575
Ch. 16Applications of the State-space Model601
References637
Tables655
Index665


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