Time Series Techniques for Economists [Paperback]

This book brings together recent research in the application of time series techniques and analyses the areas of most importance to applied economics.The application of time series techniques in economics has become increasingly important for forecasting and in the empirical analysis of time series. Three basic areas of analysis models are discussed: univariate, multivariate and nonlinear.The application of time series techniques in economics has become increasingly important for forecasting and in the empirical analysis of time series. Three basic areas of analysis models are discussed: univariate, multivariate and nonlinear.The application of time series techniques in economics has become increasingly important, both for forecasting purposes and in the empirical analysis of time series in general. This book brings together recent research at the frontiers of the subject and analyzes the areas of time series analysis of most importance to applied economics. The author discusses three basic areas of time series analysis: univariate models, multivariate models, and nonlinear models. Particular emphasis is placed on applications of the theory to important areas of applied economics and on the computer software and programs needed to implement the techniques. It is an up-to-date text, extending the basic techniques of analysis to cover the development of methods that can be used to analyze a wide range of economic problems.Preface; 1. Introduction; Part I. Exploratory Analysis of Economic Time Series: 2. The graphical display of time series; 3. Summarising time series; 4. Transforming and smoothing time series; Part II. The Modelling of Univariate Economic Time Series: 5. Stationary stochastic time series models; 6. Modelling nonstationary processes; 7. Forecasting using ARIMA models; 8. ARIMA model building; 9. Exponential smoothing and its relationship to ARIMA modelling; 10. Modelling seasonal time series; 11. Further topics in univariate time series modelling; Palc1