Time Series and Dynamic Models
DOI10.1017/CBO9780511628597zbMath0861.62077OpenAlexW4300658550MaRDI QIDQ4870468
Christian Gouriéroux, Alain Monfort
Publication date: 19 March 1996
Full work available at URL: https://doi.org/10.1017/cbo9780511628597
multipliersrational expectationsKalman filtercausalityexponential smoothingstate-space modelsshocksseasonal adjustmentlinear regression modelexogeneitytime series econometricsBox-Jenkins approachdynamic macroeconometric modelstrend componentsoptimal forecastnonstationary modelsmoving average methodserror correlation approachspecification analyses
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)
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