Time Series and Dynamic Models [Paperback]

An up-to-date and comprehensive analysis of traditional and modern time series econometrics.Concisely written and up-to-date, this book provides a unified and comprehensive analysis of the full range of topics that comprise modern time series econometrics. One of its most attractive features is the close attention it pays throughout to economic models and phenomena.Concisely written and up-to-date, this book provides a unified and comprehensive analysis of the full range of topics that comprise modern time series econometrics. One of its most attractive features is the close attention it pays throughout to economic models and phenomena.Concisely written and up-to-date, this book provides a unified and comprehensive analysis of the full range of topics that comprise modern time series econometrics. While it does demand a good quantitative grounding, it does not require a high mathematical rigor or a deep knowledge of economics. One of the book's most attractive features is the close attention it pays throughout to economic models and phenomena. The authors provide a sound analysis of the statistical origins of topics such as seasonal adjustment, causality, exogeneity, cointegration, prediction, and forecasting. Their treatment of Box-Jenkins models and the Kalman filter represents a synthesis of the most recent theoretical and applied work in these areas.Preface; 1. Introduction; Part I. Traditional Methods: 2. Linear regression for seasonal adjustment; 3. Moving averages for seasonal adjustment; 4. Exponential smoothing methods; Part II. Probabilistic and Statistical Properties of Stationary Processes: 5. Some results on the univariate processes; 6. The Box and Jenkins method for forecasting; 7. Multivariate time series; 8. Time-series representations; 9. Estimation and testing (stationary case); Part III. Time-series Econometrics: Stationary and Nonstationary Models: 10. Causality, exogeneity, and shocks; 11. Trend components; 12. Expectations; 13. Specification anl3%