Introduction to modern time series analysis: with ... 17 tables
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
2008
|
| Subjects: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016555501&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Physical Description: | IX, 274 S. graph. Darst. 235 mm x 155 mm |
| ISBN: | 9783540687351 |
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MARC
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| 100 | 1 | |a Kirchgässner, Gebhard |d 1948-2017 |e Verfasser |0 (DE-588)122361938 |4 aut | |
| 245 | 1 | 0 | |a Introduction to modern time series analysis |b with ... 17 tables |c Gebhard Kirchgässner ; Jürgen Wolters |
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 2008 | |
| 300 | |a IX, 274 S. |b graph. Darst. |c 235 mm x 155 mm | ||
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Record in the Search Index
| DE-BY-TUM_call_number | 0102 MAT 634f 2008 A 6896 |
|---|---|
| DE-BY-TUM_katkey | 1637264 |
| DE-BY-TUM_location | 01 |
| DE-BY-TUM_media_number | 040010096796 |
| _version_ | 1821933246221385728 |
| adam_text | Contents
Preface
..................................................................................................
V
1
Introduction and Basics
........................................................................1
1.1
The Historical Development of Time Series Analysis
...................2
1.2
Graphical Representations of Economic Time Series
....................5
1.3
Ergodicity and Stationarity
...........................................................12
1.4
The Wold Decomposition
.............................................................21
References
............................................................................................22
2
Univariate Stationary Processes
.............................,..........................27
2.1
Autoregressive
Processes
..............................................................27
2.1.1
First Order
Autoregressive
Processes
....................................27
2.1.2
Second Order
Autoregressive
Processes
...............................40
2.1.3
Higher Order
Autoregressive
Processes
................................49
2.1.4
The Partial Autocorrelation Function
....................................52
2.1.5
Estimating
Autoregressive
Processes
....................................56
2.2
Moving Average Processes
...........................................................57
2.2.1
First Order Moving Average Processes
.................................58
2.2.2
Higher Order Moving Average Processes
.............................64
2.3
Mixed Processes
...........................................................................67
2.3.1
ARMACI,!)
Processes
...........................................................67
2.3.2
ARMA(p,q) Processes
...........................................................73
2.4
Forecasting
....................................................................................75
2.4.1
Forecasts with Minimal Mean Squared Errors
......................75
2.4.2
Forecasts of ARMA(p,q) Processes
.......................................80
2.4.3
Evaluation of Forecasts
.........................................................84
2.5
The Relation between Econometric Models and
ARMA
Processes
..........................................................................87
References
............................................................................................88
3
Granger Cansality
...............................................................................93
3.1
The Definition of Granger Causality
............................................95
3.2
Characterisations of Causal Relations in
Divariate
Models
..........97
VIII Contents
3
.2.1 Characterisations
of Causal Relations using the
Autoregressive
and Moving Average Representations
.........97
3.2.2
Characterising Causal Relations by Using the Residuals
of the Univariate Processes
....................................................99
3.3
Causality Tests
............................................................................102
3.3.1
The Direct Granger Procedure
.............................................102
3.3.2
The Haugh-Pierce Test
........................................................106
3.3.3
The Hsiao Procedure
...........................................................110
3.4
Applying Causality Tests in a Multivariate Setting
....................114
3.4.1
The Direct Granger Procedure with More Than Two
Variables
.............................................................................114
3.4.2
Interpreting the Results of
Divariate
Tests in Systems
With More Than Two Variables
.........................................117
3.5
Concluding Remarks
..................................................................118
References
..........................................................................................120
4
Vector
Autoregressive
Processes
.....................................................125
4.1
Representation of the System
.....................................................127
4.2
Granger Causality
.......................................................................136
4.3
Impulse Response Analysis
........................................................138
4.4
Variance Decomposition
............................................................144
4.5
Concluding Remarks
..................................................................149
References
..........................................................................................150
5
Nonstationary Processes
...................................................................153
5.1
Forms of Nonstationarity
............................................................153
5.2
Trend Elimination
......................................................................159
5.3
Unit Root Tests
............:..............................................................163
5.3.1
Dickey-Fuller Tests
.............................................................165
5.3.2
The Phillips-Perron Test
......................................................171
5.3.3
Unit Root Tests and Structural Breaks
................................176
5.3.4
A Test with the Null Hypothesis of Stationarity
.................178
5.4
Decomposition of Time Series
...................................................180
5.5
Further Developments
................................................................187
5.5.1
Fractional Integration
..........................................................187
5.5.2
Seasonal Integration
............................................................189
5.6
Deterministic versus Stochastic Trends in Economic
Time Series
.................................................................................191
References
..........................................................................................194
6
Cointegration
.....................................................................................199
6.1
Definition and Properties of Cointegrated Processes
.................203
Contents
IX
6.2
Cointegration
in Single
Equation
Models:
Representation,
Estimation
and Testing
...............................................................205
6.2.1
Bivariate
Cointegration
.......................................................205
6.2.2
Cointegration
with More Than Two Variables
....................208
6.2.3
Testing Cointegration in Static Models
...............................209
6.2.4
Testing Cointegration in Dynamic Models
..........................213
6.3
Cointegration in Vector
Autoregressive
Models
........................218
6.3.1
The Vector Error Correction Representation
.......................219
6.3.2
The Johansen Approach
.......................................................222
6.3.3
Analysis of Vector Error Correction Models
.......................229
6.4
Cointegration and Economic Theory
..........................................234
References
..........................................................................................235
7
Autoregressive
Conditional Heteroskedasticity
.............................241
7.1
ARCH Models
............................................................................245
7.1.1
Definition and Representation
.............................................245
7.1.2
Unconditional Moments
......................................................248
7.1.3
Temporal Aggregation
.........................................................249
7.2
Generalised ARCH Models
........................................................252
7.2.1
GARCH Models
..................................................................252
7.2.2
The GARCHCU) process
...................................................254
7.2.3
Nonlinear Extensions
...........................................................257
7.3
Estimation and Testing
...............................................................259
7.4
ARCH/GARCH Models as Instruments of Financial
Market Analysis
..........................................................................261
References
..........................................................................................263
Index of Names and Authors
................................................................267
Subject Index
..........................................................................................271
|
| any_adam_object | 1 |
| author | Kirchgässner, Gebhard 1948-2017 Wolters, Jürgen 1940-2015 |
| author_GND | (DE-588)122361938 (DE-588)135543525 |
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| author_role | aut aut |
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| dewey-full | 330.0151955 330.015195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.0151955 330.015195 |
| dewey-search | 330.0151955 330.015195 |
| dewey-sort | 3330.0151955 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV023372253 |
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| indexdate | 2024-12-20T13:14:46Z |
| institution | BVB |
| isbn | 9783540687351 |
| language | English |
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| physical | IX, 274 S. graph. Darst. 235 mm x 155 mm |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | Springer |
| record_format | marc |
| spellingShingle | Kirchgässner, Gebhard 1948-2017 Wolters, Jürgen 1940-2015 Introduction to modern time series analysis with ... 17 tables Zeitreihenanalyse (DE-588)4067486-1 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4067486-1 (DE-588)4132280-0 (DE-588)4151278-9 |
| title | Introduction to modern time series analysis with ... 17 tables |
| title_auth | Introduction to modern time series analysis with ... 17 tables |
| title_exact_search | Introduction to modern time series analysis with ... 17 tables |
| title_full | Introduction to modern time series analysis with ... 17 tables Gebhard Kirchgässner ; Jürgen Wolters |
| title_fullStr | Introduction to modern time series analysis with ... 17 tables Gebhard Kirchgässner ; Jürgen Wolters |
| title_full_unstemmed | Introduction to modern time series analysis with ... 17 tables Gebhard Kirchgässner ; Jürgen Wolters |
| title_short | Introduction to modern time series analysis |
| title_sort | introduction to modern time series analysis with 17 tables |
| title_sub | with ... 17 tables |
| topic | Zeitreihenanalyse (DE-588)4067486-1 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Zeitreihenanalyse Ökonometrie Einführung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016555501&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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| Call Number: |
0102 MAT 634f 2008 A 6896
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|---|---|
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