Time Series Analysis: Regression Techniques, Том 9;Том 1990"The text gives a good basis for understanding the ideas of the time series models and estimation, without overwhelming readers with the complexity of the subject."--Journal of the American Statistical AssociationCompletely revised and updated, this second edition of Time Series Analysis examines techniques for the study of change based on regression analysis. Ostrom demonstrates how these regression techniques may be employed for hypothesis testing, estimating, and forecasting. In addition, analysis strategies for both lagged and nonlagged models are presented and alternative time-dependent processes are explored. Learn more about "The Little Green Book" - QASS Series! Click Here |
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Содержание
Series Editors Introduction | 4 |
Alternative TimeDependent Processes | 42 |
Lagged Case | 58 |
Forecasting | 76 |
Summary | 90 |
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Time series analysis: regression techniques, Том 9;Том 1990 Charles W. Ostrom Просмотр фрагмента - 1990 |
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ACF and PACF Applying OLS approach assume autocorrelation function Beach-McKinnon Box-Jenkins coefficient constant variance correlograms dependent variable discussed distributed lag disturbance term dogenous Durbin-Watson statistic EGLS estimates EGLS residuals equation 2.1 error process error term esti estimated residuals evaluation ex-ante-forecasts ex-post-forecasts example exogenous expected value explanatory variable Figure first-order autoregressive process following command forecast error Hibbs Hildreth-Lu instrumental variables Johnston Kmenta lagged endogenous variables lagged values Malinvaud McCleary and Hay monograph moving average process naive model nonautoregression assumption Note null hypothesis numbers in parentheses observations obtain OLS estimates OLS residuals Ostrom parameters positive serial correlation possible postsample Prais-Winsten present problem procedure random random variable ratio goal model regressors revised ratio goal sample serial correlation series regression analysis series regression model SPSS statistic t-ratios technique timated time-dependent process tion transformation U.S. defense expenditure U.S. defense spending U.S. spending USSR USSR spending Wonnacott and Wonnacott zero mean
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