TY - BOOK ID - 21984702 TI - Time series and dynamic models AU - Gourieroux, Christian AU - Monfort, Alain PY - 1997 SN - 0521423082 0521411467 0511628595 0511879695 9780521423083 9780521411462 9780511628597 PB - Cambridge Cambridge University Press DB - UniCat KW - Statistische verdeling (wiskundige statistiek). Asymptotic theory. Density functions. KW - Theorie van de gemiddelden (wiskundige statistiek). KW - Mathematical statistics KW - Quantitative methods (economics) KW - Time-series analysis KW - Econometrics KW - Economics, Mathematical KW - Economics, Mathematical. KW - Econometrics. KW - Time-series analysis. KW - Social Sciences and Humanities. Economics KW - Mathématiques économiques KW - Econométrie KW - Série chronologique KW - AA / International- internationaal KW - 303.0 KW - 303.4 KW - 303.5 KW - 303.1 KW - 305.0 KW - 304.0 KW - 330.015195 KW - Analysis of time series KW - Autocorrelation (Statistics) KW - Harmonic analysis KW - Probabilities KW - Statistics KW - Economics KW - Mathematical economics KW - Mathematics KW - Statistische technieken in econometrie. Wiskundige statistiek (algemene werken en handboeken) KW - Statistische verdeling (wiskundige statistiek). Asymptotic theory. Density functions KW - Theorie van correlatie en regressie. (OLS, adjusted LS, weighted LS, restricted LS, GLS, SLS, LIML, FIML, maximum likelihood). Parametric and non-parametric methods and theory (wiskundige statistiek) KW - Theorie van de gemiddelden (wiskundige statistiek) KW - Toegepaste econometrie en statistiek (algemene naslagwerken). Statistische onderzoekingen en studiën KW - Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen KW - Methodology KW - Business, Economy and Management KW - Time series analysis UR - https://www.unicat.be/uniCat?func=search&query=sysid:21984702 AB - In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of economics, one of its most attractive features is the close attention it pays to economic models and phenomena throughout. The coverage represents a major reference tool for graduate students, researchers and applied economists. The book is divided into four sections. Section one gives a detailed treatment of classical seasonal adjustment or smoothing methods. Section two provides a thorough coverage of various mathematical tools. Section three is the heart of the book, and is devoted to a range of important topics including causality, exogeneity shocks, multipliers, cointegration and fractionally integrated models. The final section describes the main contribution of filtering and smoothing theory to time series econometric problems. ER -