http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
1 online resource (xiv, 338 pages) : illustrations
Front Cover; Forecasting Economic Time Series; Copyright Page; Dedication; Table of Contents; PREFACE TO THE SECOND EDITION; PREFACE TO THE FIRST EDITION; CHAPTER ONE. INTRODUCTION TO THE THEORY OF TIME SERIES; 1.1 Introducing Time Series; 1.2 Covariances and Stationarity; 1.3 Some Mathematical Tools; 1.4 The Linear Cyclic Model; 1.5 The Autoregressive Model; 1.6 The Moving Average Model; 1.7 The Mixed Autoregressive-Moving Average Model; 1.8 Interpreting the Mixed Model; 1.9 Filters; 1.10 Deterministic Components; 1.11 Wold's Decomposition; 1.12 Nonstationary Processes
1.13 Integrated Processes1.14 Models for Seasonal Time Series; CHAPTER TWO. SPECTRAL ANALYSIS; 2.1 Introduction; 2.2 Filters; 2.3 The Spectrum of Some Common Models; 2.4 Aliasing; 2.5 The Cross Spectrum; 2.6 Estimation of Spectral Functions; 2.7 The Typical Spectral Shape and Its Interpretation; 2.8 Seasonal Adjustment An Application of the Cross Spectrum; 2.9 Advanced Spectral Techniques; CHAPTER THREE. BUILDING LINEAR TIME SERIES MODELS; 3.1 Model Building Philosophy; 3.2 Identification; 3.3 Initial Estimates for Coefficients
3.4 The Autocorrelation Function as a Characteristic of Process Behavior3.5 Estimation; 3.6 Diagnostic Checking; 3.7 Model Building for Seasonal Time Series; 3.8 Time Series Model Building-An Overview; CHAFFER FOUR. THE THEORY OF FORECASTING; 4.1 Some Basic Concepts; 4.2 Generalized Cost Functions; 4.3 Properties of Optimal, Single-Series Forecasts; 4.4 Optimal Forecasts for Particular Models; 4.5 A Frequency-Domain Approach; 4.6 Expectations and Forecasts; 4.7 Unbiased Forecasts; 4.8 Invertibility; 4.9 Types of Forecasts; CHAFER FIVE. PRACTICAL METHODS FOR UNIVARIATE TIME SERIES FORECASTING
5.1 Introduction5.2 Box-Jenkins Forecasting Methods; 5.3 Exponential Smoothing Methods; 5.4 Stepwise Autoregression; 5.5 A Fully Automatic Forecasting Procedure Based on the Combination of Forecasts; 5.6 Comparison of Univariate Forecasting Procedures; CHAPTER SIX. FORECASTING FROM REGRESSION MODELS; 6.1 Introduction; 6.2 Single Equation Models; 6.3 Simultaneous Equation Models; 6.4 Danger of Spurious Regressions in Econometric Models; CHAPTER SEVEN. MULTIPLE SERIES MODELING AND FORECASTING; 7.1 Introduction; 7.2 Theoretical Models for Multiple Time Series; 7.3 Causality and Feedback
7.4 Co-Integrated Series and Error-Correction Models7.5 Properties of Optimal Multiseries Forecasts; 7.6 Forecasting Aggregates; 7.7 Rational Expectations; CHAPTER EIGHT. BUILDING MULTIPLE TIME SERIES FORECASTING MODELS; 8.1 Introduction; 8.2 Building Bivariate Models: Unidirectional Causality; 8.3 Building Vector ARMA Models; 8.4 Building Forecasting Models for Several Related Time Series; 8.5 Testing for Causality; 8.6 Testing for Co-Integration; CHAPTER NINE. THE COMBINATION AND EVALUATION OF FORECASTS; 9.1 Typical Suboptimality of Economic Forecasts; 9.2 The Combination of Forecasts
Includes bibliographical references (pages 317-330).
Granger, C.W.J. (Clive William John), 1934-2009.
Economic theory, econometrics, and mathematical economics