Time Series and Dynamic Models

by Christian Gourieroux, Alain Monfort, Giampiero Gallo

Overview

Concisely written and up-to-date, this book provides a unified and comprehensive analysis of the full range of topics that comprise modern time series econometrics. While it does demand a good quantitative grounding, it does not require a high mathematical rigor or a deep knowledge of economics. One of the book's most attractive features is the close attention it pays throughout to economic models and phenomena. The authors provide a sound analysis of the statistical origins of topics such as seasonal adjustment, causality, exogeneity, cointegration, prediction, and forecasting. Their treatment of Box-Jenkins models and the Kalman filter represents a synthesis of the most recent theoretical and applied work in these areas.

Product Details

ISBN-13:	9780521423083
Publisher:	Cambridge University Press
Publication date:	01/13/1997
Series:	Themes in Modern Econometrics
Edition description:	New Edition
Pages:	688
Product dimensions:	5.98(w) x 9.02(h) x 1.50(d)

Table of Contents

Preface; 1. Introduction; Part I. Traditional Methods: 2. Linear regression for seasonal adjustment; 3. Moving averages for seasonal adjustment; 4. Exponential smoothing methods; Part II. Probabilistic and Statistical Properties of Stationary Processes: 5. Some results on the univariate processes; 6. The Box and Jenkins method for forecasting; 7. Multivariate time series; 8. Time-series representations; 9. Estimation and testing (stationary case); Part III. Time-series Econometrics: Stationary and Nonstationary Models: 10. Causality, exogeneity, and shocks; 11. Trend components; 12. Expectations; 13. Specification analysis; 14. Statistical properties of nonstationary processes; Part IV. State-space Models: 15. State-space models and the Kalman filter; 16. Applications of the state-space model; References; Tables; Index.

Editorial Reviews

"If I wanted to give a good overview of the field to students who already had a course on ARIMA models and some state-space theory, then I would use Time Series and Dynamic Models." Kent D. Wall, JASA

"This book is well organized and provides many insights into time series and dynamic models....this book should be a useful resource not only for the econometrician but also for the person with no background in econometrics who is interested in the general theory of time series." Errol Caby, Technometrics

"In my opinion, it is the best general text on time series analysis available. It is a masterpiece. Organization is impeccable. Results flow seamlessly from one to the next. The writing, for the most part, is very accessible. It nicely balances mathematical formality with a hands-on, tone that tells you what is "really going on."
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From the Publisher