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Time series models

Author: Andrew C Harvey
Publisher: New York, NY [u.a.] : Harvester Wheatsheaf, 1993.
Edition/Format:   Print book : English : 2. ed., 1. [Dr.]View all editions and formats

A companion volume to "The Econometric Analysis of Time" series, this book focuses on the estimation, testing and specification of dynamic models which are not based on any behavioural theory. It  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Andrew C Harvey
ISBN: 0745012000 9780745012001 0745011993 9780745011998
OCLC Number: 263257791
Description: XVIII, 308 S. : graph. Darst
Contents: Stationary stochastic processes and their properties in the time domain; the frequency domain; state space models and the Kalman filter; estimation of autoregressive-moving average models; model building and prediction; selected topics in the time series regression.
Responsibility: Andrew C. Harvey.
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