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Notes on Economic Time Series Analysis: System Theoretic Perspectives by Masanao Aoki

Notes on Economic Time Series Analysis: System Theoretic Perspectives

by Masanao Aoki
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Book cover type: Paperback
  • ISBN13: 9783540126966
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Springer
  • Publisher Imprint: Springer
  • Publication Date:
  • Pages: 249
  • Original Price: EUR 49.99
  • Language: English
  • Edition: Softcover Repri
  • Item Weight: 466 grams
  • BISAC Subject(s): Economics / Theory, Econometrics, and Statistics

In seminars and graduate level courses I have had several opportunities to discuss modeling and analysis of time series with economists and economic graduate students during the past several years. These experiences made me aware of a gap between what economic graduate students are taught about vector-valued time series and what is available in recent system literature. Wishing to fill or narrow the gap that I suspect is more widely spread than my personal experiences indicate, I have written these notes to augment and reor- ganize materials I have given in these courses and seminars. I have endeavored to present, in as much a self-contained way as practicable, a body of results and techniques in system theory that I judge to be relevant and useful to economists interested in using time series in their research. I have essentially acted as an intermediary and interpreter of system theoretic results and perspectives in time series by filtering out non-essential details, and presenting coherent accounts of what I deem to be important but not readily available, or accessible to economists. For this reason I have excluded from the notes many results on various estimation methods or their statistical properties because they are amply discussed in many standard texts on time series or on statistics.

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