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

zbMATH Keywords

multipliersrational expectationsKalman filtercausalityexponential smoothingstate-space modelsshocksseasonal adjustmentlinear regression modelexogeneitytime series econometricsBox-Jenkins approachdynamic macroeconometric modelstrend componentsoptimal forecastnonstationary modelsmoving average methodserror correlation approachspecification analyses

Mathematics Subject Classification ID

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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