Analysis of Economic Time Series

In this edition which has been reprinted with corrections, Nerlove and his co-authors illustrate techniques of spectral analysis and methods based on parametric models in the analysis of economic time series. The book provides a means and a method for incorporating economic intuition and theory in the formulation of time-series models useful in forecasting, in the formulation and estimation of distributed lag models, and in other applications, such as seasonal adjustment. "Analysis of Economic Time Series" is a useful primary text for graduate students and an attractive reference for researchers. It presents a self-contained treatment of Fourier Analysis and complex variables, as well as Spectral Analysis of time series. It includes a detailed treatment of unobserved-components (UC) models and their time-series properties by means of covariance-generating transforms. It provides the formulation and maximum-likelihood estimation of ARMA and UC models in both time and frequency domains. It integrates several topics in time-series analysis: The formulation and estimation of distributed-lag models of dynamic economic behavior; The application of the techniques of spectral analysis in the study of behavior of economic time series; Unobserved-components models for economic time series and the closely related problem of seasonal adjustment; The complimentarities between time-domain and frequency-domain approaches to the analysis of economic time series; and historical contributions extending from the time of Charles Babbage and the Edinburgh Review to the present. It treats spectral analysis and Box-Jenkins models for an intuitive but rigorous point of view. It shows how these two types of analysis may be synthesized so that they complement one another. It describes a new type of model, based on a superposition of Box-Jenkins models, that captures the essential idea of the unobserved-components models long used in the analysis of economic time series. It applies multiple time-series techniques to the estimation of a novel dynamic model of the US cattle industry.

ISBN 0125157517   Pages 468 ISBN13 9780125157513 (What's this?)   Volumes 1 Publisher Emerald Group Publishing Limited   Weight (grammes) 726 Imprint Academic Press Inc   Published in Bingley Format Paperback   Series title Economic Theory, Econometrics, and Mathematical Economics Publication date 12 Sep 1995   Height (mm) 229 Library of Congress HB139.N47   Width (mm) 152 DEWEY 330.0151955   Spine width (mm) 26 DEWEY edition DC20   Academic level Professional / Scholarly

		Preface to the Revised Edition
		Preface
Ch. I		A History of the Idea of Unobserved Components in the Analysis of Economic Time Series
Ch. II		Introduction to the Theory of Stationary Time Series
Ch. III		The Spectral Representation and Its Estimation
Ch. IV		Formulation and Analysis of Unobserved-Components Models
Ch. V		Elements of the Theory of Prediction and Extraction
Ch. VI		Formulation of Unobserved-Components Models and Canonical Forms
Ch. VII		Estimation of Unobserved-Components and Canonical Models
Ch. VIII		Appraisal of Seasonal Adjustment Techniques
Ch. IX		On the Comparative Structure of Serial Dependence in Some U.S. Price Series
Ch. X		Formulation and Estimation of Mixed Moving-Average Autoregressive Models for Single Time Series: Examples
Ch. XI		Formulation and Estimation of Multivariate Mixed Moving-Average Autoregressive Time-Series Models
Ch. XII		Formulation and Estimation of Unobserved-Components Models: Examples
Ch. XIII		Application to the Formulation of Distributed-Lag Models
Ch. XIV		A Time-Series Model of the U.S. Cattle Industry
		Appendix A: The Work of Buys Ballot
		Appendix B: Some Requisite Theory of Functions of a Complex Variable
		Appendix C: Fourier Series and Analysis
		Appendix D: Whittle's Theorem
		Appendix E: Inversion of Tridiagonal Matrices and a Method for Inverting Toeplitz Matrices
		Appendix F: Spectral Densities, Actual and Theoretical, Eight Series
		More...

"The authors clearly reveal their mastery of the area." --TECHNOMETRICS "Besides offering the convenience of a one-volume collection, the books format provides the authors with the opportunity to engage in discursive essays, which are often insightful and stimulating... The balance between theory and examples makes it an attractive book for use in a special topics course." --JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

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