## Find a copy online

### Links to this item

0-link-springer-com.pugwash.lib.warwick.ac.uk Connect to Springer e-book

0-link-springer-com.pugwash.lib.warwick.ac.uk Connect to Springer e-book

## Find a copy in the library

Finding libraries that hold this item...

## Details

Genre/Form: | Electronic books |
---|---|

Additional Physical Format: | Printed edition: |

Material Type: | Document, Internet resource |

Document Type: | Internet Resource, Computer File |

All Authors / Contributors: |
Yuzo Hosoya; Kosuke Oya; Taro Takimoto; Ryo Kinoshita |

ISBN: | 9789811064364 9811064369 9811064350 9789811064357 |

OCLC Number: | 1008868222 |

Description: | 1 online resource (x, 133 pages). |

Contents: | ""Preface""; ""Acknowledgements""; ""Contents""; ""1 Introduction""; ""1.1 On Empirical Causality""; ""1.2 Causality in Economic Analysis""; ""1.3 Empirical Economic Models ""; ""1.3.1 The Cowles Approach""; ""1.3.2 Economic Time-Series Models""; ""1.4 Basic Concepts for Statistical Inference""; ""1.4.1 Conditional Inference""; ""1.4.2 Defining Exogeneity""; ""1.4.3 Interpretative Problems""; ""References""; ""2 The Measures of One-Way Effect, Reciprocity, and Association""; ""2.1 Prediction and Causality""; ""2.1.1 Statement of the Problem""; ""2.1.2 Terminology and Notations"" ""2.2 Defining Non-causality""""2.3 The One-Way Effect Measure""; ""2.4 Alternative Methods for Deriving Mv tou(Î»)""; ""2.4.1 Distributed-Lag Representation Approach""; ""2.4.2 Innovation Orthogonalization Approach""; ""2.5 Measures of Association and Reciprocity""; ""2.6 Examples""; ""References""; ""3 Representation of the Partial Measures""; ""3.1 Introduction""; ""3.2 Third-Series Involvement""; ""3.3 Partial Measures of Interdependence""; ""3.3.1 Representing the Partial Measures""; ""3.3.2 Glossary on Partial Measures of Interdependence""; ""3.3.3 The Stationary ARMA Model"" ""3.4 Extension to Non-stationary Reproducible Processes""""References""; ""4 Inference Based on the Vector Autoregressive and Moving Average Model""; ""4.1 Inference Procedure""; ""4.1.1 Three-Step Estimation Procedure""; ""4.1.2 Optimization Algorithm in Step 3""; ""4.1.3 Monte Carlo Wald Test of Measures of Interdependence""; ""4.1.4 Monte Carlo Wald Testing of Non-causality""; ""4.2 Simulation Performance""; ""4.2.1 Designing Monte Carlo Simulation""; ""4.2.2 Simulation Results""; ""4.2.3 Comparison of Step 2 and Step 3 Estimation""; ""4.3 Empirical Analysis of Macroeconomic Series"" ""4.3.1 Literature""""4.3.2 Application of the Partial Measures to US Macroeconomic Data""; ""References""; ""5 Inference on Changes in Interdependence Measures""; ""5.1 Change in Measures""; ""5.1.1 Change in Measures for Stationary Vector ARMA Model""; ""5.1.2 Inference for Noncausal Relationship""; ""5.2 Tests Based on Subsampling Method""; ""5.2.1 Test for a Change in Measures Using High-Frequency Data""; ""5.2.2 Variance Estimation via Subsampling""; ""5.3 A Simulation Study of Finite Sample Test Properties""; ""5.3.1 Change in Simple Causality Measure"" ""5.3.2 Change in Partial Causality Measure""""5.4 Empirical Illustrations""; ""5.4.1 Stock Returns and Dividend Yields""; ""5.4.2 Intra-Daily Financial Time Series""; ""References""; ""Appendix Technical Supplements"" |

Series Title: | SpringerBriefs in statistics., JSS research series in statistics. |

Responsibility: | Yuzo Hosoya, Kosuke Oya, Taro Takimoto, Ryo Kinoshita. |

### Abstract:

## Reviews

*Editorial reviews*

Publisher Synopsis

"This book is concerned with concepts and methods for characterizing interdependencies of multiple time series in the frequency domain. ... the authors have written an interesting and high valuable book, with emphasis on the practical analysis of time series. At the end of each chapter, a short list of references is provided and this will help a reader wishing to pursue this area further." (Apostolos Batsidis, zbMATH 1387.62003, 2018) Read more...

*User-contributed reviews*