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Monday, May 4, 2020 | History

4 edition of Spectral analysis of economic time series behaviour found in the catalog.

Spectral analysis of economic time series behaviour

Peijie Wang

Spectral analysis of economic time series behaviour

by Peijie Wang

  • 143 Want to read
  • 3 Currently reading

Published by Manchester School of Management in Manchester .
Written in English


Edition Notes

StatementPeijie Wang.
SeriesWorking paper series / Manchester School of Management -- no.9914, Working paper series (Manchester School of Management) -- no.9914.
ContributionsManchester School of Management.
ID Numbers
Open LibraryOL18272986M
ISBN 101861150636
OCLC/WorldCa45572321

the relatively new technique of spectral analysis to economic time series. The aim of this paper is to describe, in a non-rigorous fashion, the basic ideas underlying the spectral approach and to look at some of the uses which the technique has been, or potentially could be, put to in economics. Chapter 2. Spectral Analysis 23 Chapter 3. Markovian Structure, Linear Gaussian State Space, and Optimal (Kalman) Filtering 47 Chapter 4. Frequentist Time-Series Likelihood Evaluation, Optimization, and Inference 79 Chapter 5. Simulation Basics 90 Chapter 6. Bayesian Analysis by Simulation 96 Chapter 7. (Much) More Simulation Chapter 8.

This book provides a thorough introduction to methods for detecting and describing cyclic patterns in time-series data. It is written both for researchers and students new to the area and for those who have already collected time-series data but wish to learn new ways of understanding and presenting them. Facilitating the interpretation of observations of behavior, physiology, mood, perceptual Reviews: 2. A key idea in time series is that of stationarity. Roughly speaking, a time series is stationary if its behaviour does not change over time. This means, for example, that the values always tend to vary about the same level and that their variability is constant over time. Stationary series .

  Spectral Analysis of Economic Time Series. (PSME-1) recent research has been devoted to adapting and extending these methods so that they will be suitable for use with economic series. This book presents the important results of this research and further advances the application of the recently developed Theory of Spectra to economics Author: Clive William John Granger. A review on singular spectrum analysis for economic and financial time series Hossein Hassani∗ and Dimitrios Thomakos In recent years Singular Spectrum Analysis (SSA), a rel-atively novel but powerful technique in time series analysis, has been developed and applied to many practical problems across different Size: 1MB.


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Spectral analysis of economic time series behaviour by Peijie Wang Download PDF EPUB FB2

In this updated edition, Nerlove and his co-authors illustrate techniques of spectral analysis and methods based on parametric models in the analysis of economic time series. The book provides a means and a method for incorporating economic intuition and theory in the formulation of time-series models Cited by: 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.

This book covers almost all possible aspects of spectral analysis of time series. The problem is that it is almost exclusively theoretical. It should not be used for learning spectral analysis but rather as a reference book/5(3).

Spectral Analysis of Economic Time Series. book. Read reviews from world’s largest community for readers. The important data of economics are in the form 3/5.

Analysing the whole spectrum of time series, this paper proposes a frequency domain approach to measuring persistence and examining the associated time series properties.

Two statistics have been developed to identify typical patterns and behaviour in economic and financial by: 2. Description. 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 Book Edition: 1.

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 Cited by: Summary.

The last ten years have witnessed an increasing interest of the econometrics community in spectral theory. In fact, decomposing the series evolution in periodic contributions allows a more insightful view of its structure and of its cyclical behavior at different time scales.

In this paper, the issues of cross-spectral analysis Cited by: A. Lagg – Spectral Analysis Spectral Analysis and Time Series Andreas Lagg Part I: fundamentals on time series classification prob.

density func. auto­correlation power spectral density cross­correlation applications pre­processing sampling trend removal Part II: Fourier series definition method properties convolution correlations. Spectral Analysis Idea: decompose a stationary time series {Xt} into a combination of sinusoids, with random (and uncorrelated) coefficients.

Just as in Fourier analysis, where we decompose (deterministic) functions into combinations of sinusoids. This is referred to as ‘spectral analysis’ or analysis in the ‘frequency. Spectral Analysis for Economic Time Series. The periodogram is a real quantity – since the series is real and the autoco- variance is an even function – and is an asymptotically unbiased estimator of the theoretical spectrum.

Yet, in the case of finite series, it is non-consistent. Spectral Analysis for Economic Time Series. The last ten years have witnessed an increasing interest of the econometrics community in spectral theory. In fact, decomposing the series evolution in periodic contributions allows a more insightful view of its structure and of its cyclical behavior at different time : Alessandra Iacobucci.

Downloadable. The last ten years have witnessed an increasing interest of the econometrics community in spectral theory. In fact, decomposing the series evolution in periodic contributions allows a more insightful view of its structure and on its cyclical behavior at different time scales.

In this paper I concisely broach the issues of cross-spectral analysis and filtering, dwelling in. Additional Physical Format: Online version: Granger, C.W.J. (Clive William John), Spectral analysis of economic time series.

Princeton, N.J., Princeton. This book presents the important results of this research and further advances the application of the recently developed Theory of Spectra to economics.

In particular, Professor Hatanaka demonstrates the new technique in treating two problems-business cycle indicators, and the acceleration principle existing in department store data. COVID Resources. Reliable information about the coronavirus (COVID) is available from the World Health Organization (current situation, international travel).Numerous and frequently-updated resource results are available from this ’s WebJunction has pulled together information and resources to assist library staff as they consider how to handle coronavirus.

The important data of economics are in the form of time series; therefore, if worthwhile facts are to be discovered and economic theories to be tested, the statistical methods used will have to be those specifically designed for use with time series data.

The book attempts both to promote the use of methods of analysis which are new to economics and to present and justify some entirely new Cited by: Only quite recently has the analysis of economic time series reached a level commensurate with the inherent difficulties.

The development of spectral analysis, of which this book gives one of the first comprehensive accounts and to which it makes significant contributions, is an event of. To tailor time series models to a particular physical problem and to follow the working of various techniques for processing and analyzing data, one must understand the basic theory of spectral (frequency domain) analysis of time series.

This classic book provides an introduction to the techniques and theories of spectral analysis of time : Spectral Analysis of Economic Time Series by Granger, C.

and a great selection of related books, art and collectibles available now at. Essentially, spectral analysis attempts to decompose a time series into basic components that can be represented as sine and cosine by: Buy Spectral Analysis and Time Series, Two-Volume Set, Volumes I and II: Volume (Probability and Mathematical Statistics) Reprinted Ed by M.

B. Priestley (ISBN: ) from Amazon's Book Store. Everyday low prices and free delivery on eligible orders.5/5(1). Spectral analysis of economic time series Item Preview remove-circle Internet Archive Contributor Internet Archive Language English.

Internet Archive Books. Scanned in China. Uploaded by Alethea Bowser on March 8, SIMILAR ITEMS (based on metadata) Pages: