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Notes on economic time series analysis : system theoretic perspectives

Author: Masanao Aoki
Publisher: Berlin ; New York : Springer-Verlag, 1983.
Series: Lecture notes in economics and mathematical systems, 220.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

In seminars and graduate level courses I have had several opportunities to discuss modeling and analysis of time series with economists and economic graduate students during the past several years.

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Additional Physical Format: Online version:
Aoki, Masanao.
Notes on economic time series analysis.
Berlin ; New York : Springer-Verlag, 1983
(OCoLC)609141420
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Masanao Aoki
ISBN: 0387126961 9780387126968 3540126961 9783540126966
OCLC Number: 10022475
Notes: Errata list (4 p.) inserted.
Description: ix, 249 pages : illustrations ; 24 cm.
Contents: 1 Introduction.- 2 The Notion of State.- 3 Time-invariant Linear Dynamics.- 3.1 Continuous time systems.- 3.2 Inverse systems.- 3.3 Discrete-time sequences.- 4 Time Series Representation.- 5 Equivalence of ARMA and State Space Models.- 5.1 AR models.- 5.2 MA models.- 5.3 ARMA models.- Examples.- 6 Decomposition of Data into Cyclical and Growth Components.- 6.1 Reference paths and variational dynamic models.- 6.2 Log-linear models as variational models.- 7 Prediction of Time Series.- 7.1 Prediction space.- 7.2 Equivalence.- 7.3 Cholesky decomposition and innovations.- 8 Spectrum and Covariances.- 8.1 Covariance and spectrum.- 8.2 Spectral factorization.- 8.3 Computational aspects.- Sample covariance Matrices.- Example.- 9 Estimation of System Matrices: Initial Phase.- 9.1 System matrices.- 9.2 Approximate model.- 9.3 Rank determination of Hankel matrices: singular value decomposition theorem.- 9.4 Internally balanced model.- example.- construction..- properties of internally balanced models.- principal component analysis.- 9.5 Inference about the model order.- 9.6 Choices of basis vectors.- 9.7 State space model.- example.- 9.8 ARMA (input-output) model.- 9.9 Canonical correlation.- 10 Innovation Processes.- 10.1 Orthogonal projection.- 10.2 Kaiman filters.- 10.3 Innovation model.- causal invertibility.- 10.4 Output statistics Kaiman filter.- 10.5 Spectral factorization.- 11 Time Series from Intertemporal Optimization.- 11.1 Example: dynamic resource allocation problem.- 11.2 Quadratic regulation problems.- discrete-time systems.- 11.3 Parametric analysis of optimal solutions.- choice of weighting matrices.- 12 Identification.- 12.1 Closed-loop systems.- 12.2 Identifiability of a closed-loop system.- 13 Time Series from Rational Expectations Models 140.- 13.1 Moving Average processes.- 13.2 Autoregressive processes.- 13.3 ARMA models.- 13.4 Examples.- example.- example.- example.- case of common information pattern.- case of differential information set.- 14 Numerical Examples.- Mathematical Appendices.- A.1 Solutions of difference equations.- A.2 Geometry of weakly stationary stochastic sequences.- A.3 Principal components.- A.4 Fourier transforms.- A.5 The z-transform.- A.6 Some useful relations for quadratic forms.- A.7 Calculation of the inverse, (z I-A)-1.- A.8 Sensitivity analysis of optimal solutions: scalar-valued case.- A.9 Common factor in ARMA models and controllability.- A.10 Non-controllability and singular probability distribution.- A.11 Spectral decomposition representation.- A.12 Singular value decomposition theorem.- A.13 Hankel matrices.- A.14 Dual relations.- A.15 Quadratic regulation problem: continuous time systems.- A.16 Maximum principle: discrete-time dynamics.- A.17 Policy reaction functions, stabilization policy and modes.- A.18 Dynamic policy multipliers.- References.
Series Title: Lecture notes in economics and mathematical systems, 220.
Responsibility: Masanao Aoki.

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<http:\/\/experiment.worldcat.org\/entity\/work\/data\/806343170#Place\/berlin<\/a>> # Berlin<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Place<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Berlin<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/806343170#Series\/lecture_notes_in_economics_and_mathematical_systems<\/a>> # Lecture notes in economics and mathematical systems ;<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nbgn:PublicationSeries<\/a> ;\u00A0\u00A0\u00A0\nschema:hasPart<\/a> <http:\/\/www.worldcat.org\/oclc\/10022475<\/a>> ; # Notes on economic time series analysis : system theoretic perspectives<\/span>\n\u00A0\u00A0\u00A0\nschema:name<\/a> \"Lecture notes in economics and mathematical systems ;<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/806343170#Topic\/economie_politique_methodes_statistiques<\/a>> # \u00C9conomie politique--M\u00E9thodes statistiques<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"\u00C9conomie politique--M\u00E9thodes statistiques<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"\u00C9conomie politique--M\u00E9thodes statistiques<\/span>\"@fr<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/806343170#Topic\/okonometrie<\/a>> # \u00D6konometrie<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"\u00D6konometrie<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/806343170#Topic\/serie_chronologique<\/a>> # S\u00E9rie chronologique<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"S\u00E9rie chronologique<\/span>\"@fr<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/806343170#Topic\/series_chronologiques<\/a>> # S\u00E9ries chronologiques<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"S\u00E9ries chronologiques<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/806343170#Topic\/systemes_theorie_des<\/a>> # Syst\u00E8mes, Th\u00E9orie des<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Syst\u00E8mes, Th\u00E9orie des<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Syst\u00E8mes, Th\u00E9orie des<\/span>\"@fr<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/806343170#Topic\/systemtheorie<\/a>> # Systemtheorie<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Systemtheorie<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/806343170#Topic\/wirtschaft<\/a>> # Wirtschaft<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Wirtschaft<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/806343170#Topic\/zeitreihenanalyse<\/a>> # Zeitreihenanalyse<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Zeitreihenanalyse<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/id.loc.gov\/authorities\/subjects\/sh85040863<\/a>> # Economics--Statistical methods<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Economics--Statistical methods<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
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<http:\/\/id.worldcat.org\/fast\/1141423<\/a>> # System theory<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"System theory<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/id.worldcat.org\/fast\/1151190<\/a>> # Time-series analysis<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Time-series analysis<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/id.worldcat.org\/fast\/902215<\/a>> # Economics--Statistical methods<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Economics--Statistical methods<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/viaf.org\/viaf\/14836401<\/a>> # Masanao Aoki<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Person<\/a> ;\u00A0\u00A0\u00A0\nschema:familyName<\/a> \"Aoki<\/span>\" ;\u00A0\u00A0\u00A0\nschema:givenName<\/a> \"Masanao<\/span>\" ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Masanao Aoki<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
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<http:\/\/www.worldcat.org\/oclc\/609141420<\/a>>\u00A0\u00A0\u00A0\u00A0a \nschema:CreativeWork<\/a> ;\u00A0\u00A0\u00A0\nrdfs:label<\/a> \"Notes on economic time series analysis.<\/span>\" ;\u00A0\u00A0\u00A0\nschema:description<\/a> \"Online version:<\/span>\" ;\u00A0\u00A0\u00A0\nschema:isSimilarTo<\/a> <http:\/\/www.worldcat.org\/oclc\/10022475<\/a>> ; # Notes on economic time series analysis : system theoretic perspectives<\/span>\n\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/www.worldcat.org\/title\/-\/oclc\/10022475<\/a>>\u00A0\u00A0\u00A0\u00A0a \ngenont:InformationResource<\/a>, genont:ContentTypeGenericResource<\/a> ;\u00A0\u00A0\u00A0\nschema:about<\/a> <http:\/\/www.worldcat.org\/oclc\/10022475<\/a>> ; # Notes on economic time series analysis : system theoretic perspectives<\/span>\n\u00A0\u00A0\u00A0\nschema:dateModified<\/a> \"2019-09-08<\/span>\" ;\u00A0\u00A0\u00A0\nvoid:inDataset<\/a> <http:\/\/purl.oclc.org\/dataset\/WorldCat<\/a>> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/www.worldcat.org\/title\/-\/oclc\/10022475#PublicationEvent\/berlin_new_york_springer_verlag_1983<\/a>>\u00A0\u00A0\u00A0\u00A0a \nschema:PublicationEvent<\/a> ;\u00A0\u00A0\u00A0\nschema:location<\/a> <http:\/\/dbpedia.org\/resource\/New_York_City<\/a>> ; # New York<\/span>\n\u00A0\u00A0\u00A0\nschema:location<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/806343170#Place\/berlin<\/a>> ; # Berlin<\/span>\n\u00A0\u00A0\u00A0\nschema:organizer<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/806343170#Agent\/springer_verlag<\/a>> ; # Springer-Verlag<\/span>\n\u00A0\u00A0\u00A0\nschema:startDate<\/a> \"1983<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n\n

Content-negotiable representations<\/p>\n