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Analysis of Economic Time Series

Listed editor(s):
  • Shell, Karl
Registered editor(s):
Listed author(s):
  • Nerlove, Marc

    (University of Maryland, College Park, U.S.A.)

  • Grether, David M.
  • Carvalho, José L.

Analysis of Economic Time Series: A Synthesis integrates several topics in economic time-series analysis, including the formulation and estimation of distributed-lag models of dynamic economic behavior; the application of spectral analysis in the study of the behavior of economic time series; and unobserved-components models for economic time series and the closely related problem of seasonal adjustment. Comprised of 14 chapters, this volume begins with a historical background on the use of unobserved components in the analysis of economic time series, followed by an Introduction to the theory of stationary time series. Subsequent chapters focus on the spectral representation and its estimation; formulation of distributed-lag models; elements of the theory of prediction and extraction; and formulation of unobserved-components models and canonical forms. Seasonal adjustment techniques and multivariate mixed moving-average autoregressive time-series models are also considered. Finally, a time-series model of the U.S. cattle industry is presented. This monograph will be of value to mathematicians, economists, and those interested in economic theory, econometrics, and mathematical economics.

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This book is provided by Elsevier in its series Elsevier Monographs with number 9780125157506 and published in 1979.
Edition: 1
ISBN: 978-0-12-515750-6
Handle: RePEc:eee:monogr:9780125157506
Contact details of provider: Web page: http://www.sciencedirect.com/

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