Statistical inference in dynamic economic models, by Cowles Commission research staff members and guests (Cowles Commission for Research in Economics. Monograph)

Book Description

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.

Customer Reviews:

Only available coverage of some non-standard practical econometric time series methods.......2006-07-10

I have used this book as a reference for about 9 years. I like it because it covers material such as seasonality (e.g. Census X11), filtering (e.g. moving averages, Hrnderson filters) and many other items which are of interest to the time-series econometrician working outside of academia and which are not well covered in the standard econometrics time series textbooks. The book is a translation of the original french version which was published in 1990 and some items are not are perhaps a little dated. The English translation could be improved.

I would recommend the book to a practicing econometrician who wishes to extend his knowledge of time-series to some of the practical but unfashionable areas covered in the book

Don't Buy It.......2002-03-01

This is a crap book. Don't buy it. I have 3 books by this author, all published by CUP, and I swear I will never and ever buy his fourth book. This is the worst book I've every read. There are several common weak points of his books -- confusing symbols, lack of explanations on those necessary issues and lengthy B.S. on those simple issues. Numerous typing errors make the matter worse. This book spend a chapter talking about old fashion of moving averages, such as Spencer 7-point and 15-point. It almost goes into the field of graduation. What's the point? The chapters on ARIMA are also rubbish. My feeling is that the author lacks sense in statistics, all he saw are just mathematics. On the whole, this book is just on the wrong field, at the wrong time and with the wrong title.

Not a book for economists; particularly hard to understand.......2001-04-08

When you study an econometrics PhD. In France, you can't avoid reading books of Gourieroux: it's the national hero of econometrics. In fact, when you discover all the research he has done, you have to admit it's a brilliant person. But his books aren't particularly clear. They are made for mathematicians (the only students in my classroom that appreciate this book aren't economists; the rest of us, simple mortals, use more friendly books, such as Davidson and Mackinnon, Greene, Enders and Hamilton). What can I say? It's a very complete book: seasonality is deeply treated, ARIMA models are studied profoundly and, you can even find a spectral analysis chapter and another of the Kalman filter. But they are pretty hard to understand. The notation is complex, more than necessary. There are lots of equations and little explanations. If you are a mathematician, this book will satisfy your needs; it's rigorous and fairly complete (even if the selection of topics it's not the ideal one, I think); if you are not, you should better go to Hamilton's manual. If what you want is a cookbook of time series, then buy Enders.

Chaos in Real Data: Analysis of Non-Linear Dynamics from Short Ecological Time Series (Population and Community Biology Series)

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Chaos in Real Data: Analysis of Non-Linear Dynamics from Short Ecological Time Series (Population and Community Biology Series)

Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

Population Biology | Biological Sciences | Science | Subjects | Books

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ASIN: 0412796902

Book Description

Chaos in Real Data studies the range of data analytic techniques available to study nonlinear population dynamics for ecological time series. Several case studies are studied using typically short and noisy population data from field and laboratory. A range of modern approaches, such as response surface methodology and mechanistic mathematical modelling, are applied to several case studies. Experts honestly appraise how well these methods have performed on their data. The accessible style of the book ensures its readability for non-quantitative biologists. The data remain available, as benchmarks for future study, on the worldwide web.

Chaos Theory in Economics: Methods, Models and Evidence (International Library of Critical Writings in Economics)

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Chaos Theory in Economics: Methods, Models and Evidence (International Library of Critical Writings in Economics)

Manufacturer: Edward Elgar Pub
ProductGroup: Book
Binding: Hardcover

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Forecasting with Dynamic Regression Models

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tharit
excellent
Time Series Analysis for beginner

Forecasting with Dynamic Regression Models
Alan Pankratz
Manufacturer: Wiley-Interscience
ProductGroup: Book
Binding: Hardcover

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ASIN: 0471615285

Book Description

One of the most widely used tools in statistical forecasting, single equation regression models is examined here. A companion to the author's earlier work, Forecasting with Univariate Box-Jenkins Models: Concepts and Cases, the present text pulls together recent time series ideas and gives special attention to possible intertemporal patterns, distributed lag responses of output to input series and the auto correlation patterns of regression disturbance. It also includes six case studies.

Customer Reviews:

tharit.......2006-09-14

I was assigned to develop a stochastic model for air pollution (well, back to 3 weeks before, I had no idea what time series analysis was !!!). After spend some time searching around for an easy-to-understand textbook dealing with time series data, I found this book is the best. It is comprehensive and clearly explain with many good excercises. What you need is some basic knowledge in ARIMA (which could be find from general econometrics textbook or SPSS guideline) and simple linear regression and then you will love this book as I am now.

excellent.......2003-01-08

Being a noive to Box Jenkin method, the clear, and well organized exposition of this book took me step by step to a firm understanding of the method within a short time span, and keys to practice it. After finishing reading a copy from the library, I find it worths to purchase one for reference.

Time Series Analysis for beginner.......2000-11-13

It is an excellent book for understanding time series analysis, well written and clearly explained. Readers should have some knowledge of univariate ARIMA model but no expertise is required. The book focuses on how, why, and when to combine the effect of other variables and the univariate ARIMA model. The suggested methods are demonstrated by a well-explained example. The author describes each step in the analysis in detail, this greatly helps in understanding the logic. Therefore, I highly recommend this book for students or persons who have a preliminary knowledge of the time series analysis technique, and who want to develop a more in-depth understanding of the subject. In addition, it is a must-have reference book for all time-series analyst.

Modern Econometric Analysis: Surveys on Recent Developments

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Modern Econometric Analysis: Surveys on Recent Developments

Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

Econometrics | Economics | Business & Investing | Subjects | Books

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ASIN: 3540326928

Book Description

Traditional econometric analysis concentrate on classical methods which are far from suitable handling actual economic problems. Modern econometric analysis tries to develop new approaches from an economic perspective. As a consequence, there is less of a unified econometric theory than in former times. Specific branches which require specific methods have been established. Modern time series and duration analysis, panel data analysis, microeconometrics, evaluation methods, and specific data problems are examples of these new approaches. In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.

Nonlinear Time Series Analysis of Economic and Financial Data (Dynamic Modeling and Econometrics in Economics and Finance)

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Nonlinear Time Series Analysis of Economic and Financial Data (Dynamic Modeling and Econometrics in Economics and Finance)

Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

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ASIN: 0792383796

Book Description

Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.

A Nonlinear Time Series Workshop - A Toolkit for Detecting and Identifying Nonlinear Serial (DYNAMIC MODELING AND ECONOMETRICS IN ECONOMICS AND) (Dynamic ... and Econometrics in Economics and Finance)

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A Nonlinear Time Series Workshop - A Toolkit for Detecting and Identifying Nonlinear Serial (DYNAMIC MODELING AND ECONOMETRICS IN ECONOMICS AND) (Dynamic ... and Econometrics in Economics and Finance)
Douglas M. Patterson , and Richard A. Ashley
Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

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ASIN: 0792386744

Book Description

The complex dynamic behavior exhibited by many nonlinear systems - chaos, episodic volatility bursts, stochastic regimes switching - has attracted a good deal of attention in recent years. A Nonlinear Time Series Workshop provides the reader with both the statistical background and the software tools necessary for detecting nonlinear behavior in time series data. The most useful existing detection techniques are described, including Engle's LaGrange Multiplier test for conditional hetero-skedasticity and tests based on the correlation dimension and on the estimated bispectrum. These techniques are illustrated using actual data from fields such as economics, finance, engineering, and geophysics.

Time-Dependent Effects in Disordered Materials (Nato a S I Series Series B, Physics)

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Time-Dependent Effects in Disordered Materials (Nato a S I Series Series B, Physics)

Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

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Air quality forecasting using a hybrid autoregressive and nonlinear model [An article from: Atmospheric Environment]

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Air quality forecasting using a hybrid autoregressive and nonlinear model [An article from: Atmospheric Environment]
A.B. Chelani , and S. Devotta
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital

Elsevier | By Publisher | e-Docs | Formats | Books
ASIN: B000RR7YOG

Book Description

This digital document is a journal article from Atmospheric Environment, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
The usual practices of air quality time-series forecasting are based on applying the models that deal with either the linear or nonlinear patterns. As the linear or nonlinear behavior of the time series is not known in advance, one applies the number of models and finally selects the one, which provides the most accurate results. The air pollutant concentration time series contain patterns that are not purely linear or nonlinear and applying either technique may give inadequate results. This study aims to develop a hybrid methodology that can deal with both the linear and nonlinear structure of the time series. The hybrid model is developed using the combination of autoregressive integrated moving average model, which deals with linear patterns and nonlinear dynamical model. To demonstrate the utility of the proposed technique, nitrogen dioxide concentration observed at a site in Delhi during 1999 to 2003 was utilized. The individual linear and nonlinear models were also applied in order to examine the performance of the hybrid model. The performance is compared for one-step and multi-step ahead forecasts using the error statistics such as mean absolute percentage error and relative error. It is observed that hybrid model outperforms the individual linear and nonlinear models. The exploitation of unique features of linear and nonlinear models makes it a powerful technique to predict the air pollutant concentrations.

Book Description

Downsizing, globalization, and new technologies-the state of today's economy makes dealing with change a key skill for all managers. This business guide gives managers the tools and theory they need to handle changing work environments and deal with common difficulties such as employee stress and resistance to change. By understanding how organizations and individuals handle change, managers learn how to better respond to change, articulate new visions, create and share goals, and motivate workers. Here are valuable tips for managers and entrepreneurs on overseeing every phase of a transformation, including how to assemble a change team, uncover potential fissures, and evaluate the process.

Customer Reviews:

Illuminating, informative, thoughtful, useful, practical........2000-09-07

In The Agile Manager's Guide To Managing Change, Robert Ristino draws upon his expertise as a strategic communications specialist to provide the reader with the theory and tools necessary to handle the inevitable business and marketing changes evoked by our rapidly evolving global economy and technological advances. Ristino shows the corporate manager how to manage routine changes, radical and non-routine changes, understand and deal with the sense of loss in the workplace brought about by change, understand and overcome resistance to change, and turn the stresses that arising from change into productive energy. The Agile Manager's Guide To Managing Change is illuminating, informative, thought-provoking, useful, practical, reading for anyone charged with managerial responsibilities at any level, from line foreman to CEO.

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