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Time series techniques for economists

Author: Terence C Mills
Publisher: Cambridge ; New York ; Melbourne : Cambridge University Press, 1991.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

This book brings together recent research in the application of time series techniques and analyses the areas of most importance to applied economics.

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Document Type: Book
All Authors / Contributors: Terence C Mills
ISBN: 0521405742 9780521405744 0521343399 9780521343398
OCLC Number: 468135246
Notes: Bibliogr. p.349-370 p. Index.
Description: X-377 p. : ill., couv. ill. ; 23 cm
Contents: Preface; 1. Introduction; Part I. Exploratory Analysis of Economic Time Series: 2. The graphical display of time series; 3. Summarising time series; 4. Transforming and smoothing time series; Part II. The Modelling of Univariate Economic Time Series: 5. Stationary stochastic time series models; 6. Modelling nonstationary processes; 7. Forecasting using ARIMA models; 8. ARIMA model building; 9. Exponential smoothing and its relationship to ARIMA modelling; 10. Modelling seasonal time series; 11. Further topics in univariate time series modelling; Part III. The Modelling of Multivariate Economic Time Series: 12. Intervention analysis and the detection of outliers; 13. Transfer function-noise models; 13. Transfer function-noise models; 14. Multiple time series modelling; Part IV. Nonlinear Time Series Models: 15. Conditional variance models and related topics; 16. State dependent models; References; Index.
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'... the level of exposition is appropriate for a course required of all graduate students in economics ... this book is admirable. It should be widely read.' Journal of Economic Literature

 
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