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Analysis of Economic Time Series


  • Shell, Karl


  • 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.

Suggested Citation

  • Nerlove, Marc & Grether, David M. & Carvalho, José L., 1979. "Analysis of Economic Time Series," Elsevier Monographs, Elsevier, edition 1, number 9780125157506 edited by Shell, Karl.
  • Handle: RePEc:eee:monogr:9780125157506

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    References listed on IDEAS

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    5. Kemp, Murray C. & Ohyama, Michihiro, 1978. "The gain from free trade under conditions of uncertainty," Journal of International Economics, Elsevier, vol. 8(1), pages 139-141, February.
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    9. Batra, Raveendra N & Russell, William R, 1974. "Gains from Trade Under Uncertainty," American Economic Review, American Economic Association, vol. 64(6), pages 1040-1048, December.
    10. Stephen J. Turnovsky, 1974. "Technological and Price Uncertainty in a Ricardian Model of International Trade," Review of Economic Studies, Oxford University Press, vol. 41(2), pages 201-217.
    11. K. J. Arrow, 1964. "The Role of Securities in the Optimal Allocation of Risk-bearing," Review of Economic Studies, Oxford University Press, vol. 31(2), pages 91-96.
    12. Steinar Ekern & Robert Wilson, 1974. "On the Theory of the Firm in an Economy with Incomplete Markets," Bell Journal of Economics, The RAND Corporation, vol. 5(1), pages 171-180, Spring.
    13. Sandwip K. Das, 1977. "Uncertainty and the Heckscher-Ohlin Theorem: A Comment," Review of Economic Studies, Oxford University Press, vol. 44(1), pages 189-190.
    14. Ruffin, Roy J., 1974. "Comparative advantage under uncertainty," Journal of International Economics, Elsevier, vol. 4(3), pages 261-273, August.
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