Analysis of Economic Time Series

A Synthesis

Marc Nerlove, David M. Grether, José L. Carvalho, Karl Shell

• Publisher: Academic Press
• Year: 2014
• Print ISBN: 9780125157506
• eBook ISBN: 9781483218885
• Topic: Economics
• Subtopic: Business General
• Index: Economics

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.

Table of contents

• Front Cover
• Analysis of Economic Time Series: A Synthesis
• Copyright Page
• Table of Contents
• Dedication
• Preface
• Chapter I. A History of the Idea of Unobserved Components in the Analysis of Economic Time Series
• Chapter II. Introduction to the Theory of Stationary Time Series
• Chapter III. The Spectral Representation and Its Estimation
• Chapter IV. Formulation and Analysis of Unobserved-Components Models
• Chapter V. Elements of the Theory of Prediction and Extraction
• Chapter VI. Formulation of Unobserved-Components Models and Canonical Forms
• Chapter VII. Estimation of Unobserved-Components and Canonical Models
• Chapter VIII. Appraisal of Seasonal Adjustment Techniques
• Chapter IX. On the Comparative Structure of Serial Dependence in Some U.S. Price Series
• Chapter X. Formulation and Estimation of Mixed Moving-Average Autoregressive Models for Single Time Series: Examples
• Chapter XI. Formulation and Estimation of Multivariate Mixed Moving-Average Autoregressive Time-Series Models
• Chapter XII. Formulation and Estimation of Unobserved-Components Models: Examples
• Chapter XIII. Application to the Formulation of Distributed-Lag Models
• Chapter XIV. A Time-Series Model of the U.S. Cattle Industry
• Appendix A: The Work of Buys Ballot
• Appendix B: Some Requisite Theory of Functions of a Complex Variable
• Appendix C: Fourier Series and Analysis
• Appendix D: Whittle's Theorem
• Appendix E: Inversion of Tridiagonal Matrices and a Method for Inverting Toeplitz Matrices
• Appendix F: Spectral Densities, Actual and Theoretical, Eight Series
• Appendix G: Derivation of a Distributed-Lag Relation between Sales and Production: A Simple Example
• References
• Author Index
• Subject Index