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Measuring business cycles in economic time series / Regina Kaiser, Agustín Maravall.
Author
Kaiser, Regina
[Browse]
Format
Book
Language
English
Published/Created
New York : Springer, ©2001.
Description
viii, 190 pages : illustrations ; 24 cm.
Availability
Copies in the Library
Location
Call Number
Status
Location Service
Notes
Lewis Library - Stacks
HB3711 .K26 2001
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Details
Subject(s)
Business cycles
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Time-series analysis
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Related name
Maravall, Agustín
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Series
Lecture notes in statistics (Springer-Verlag) ; v. 154.
[More in this series]
Lecture notes in statistics ; 154
Bibliographic references
Includes bibliographical references (p. [177]-183) and indexes.
Contents
1. Introduction and Brief Summary
2. A Brief Review of Applied Time Series Analysis. 2.1. Some Basic Concepts. 2.2. Stochastic Processes and Stationarity. 2.3. Differencing. 2.4. Linear Stationary Process, Wold Representation, and Auto-correlation Function. 2.5. The Spectrum. 2.6. Linear Filters and Their Squared Gain
3. ARIMA Models and Signal Extraction. 3.1. ARIMA Models. 3.2. Modeling Strategy, Diagnostics and Inference. 3.2.1. Identification. 3.2.2. Estimation and Diagnostics. 3.2.3. Inference. 3.2.4. A Particular Class of Models. 3.3. Preadjustment. 3.4. Unobserved Components and Signal Extraction. 3.5. ARIMA-Model-Based Decomposition of a Time Series. 3.6. Short-Term and Long-Term Trends.
ISBN
0387951121 ((alk. paper))
9780387951126 ((alk. paper))
LCCN
00059552
OCLC
44633037
International Article Number
9780387951126
Statement on language in description
Princeton University Library aims to describe library materials in a manner that is respectful to the individuals and communities who create, use, and are represented in the collections we manage.
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Measuring business cycles in economic time series / Regina Kaiser, Agustín Maravall.
id
SCSB-8701911