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.

Notes on Economic Time Series Analysis: System Theoretic Perspectives (Lecture Notes in Economics & Mathematical Systems)

Business & Money

Masahiko Aoki

Economics

Springer, Verlag

In this book, the author adopts a state space approach to time series modeling to provide a new, computer-oriented method for building models for vector-valued time series. This second edition has been completely reorganized and rewritten. Background material leading up to the two types of estimators of the state space models is collected and presented coherently in four consecutive chapters. New, fuller descriptions are given of state space models for autoregressive models commonly used in the econometric and statistical literature. Backward innovation models are newly introduced in this edition in addition to the forward innovation models, and both are used to construct instrumental variable estimators for the model matrices. Further new items in this edition include statistical properties of the two types of estimators, more details on multiplier analysis and identification of structural models using estimated models, incorporation of exogenous signals and choice of model size. A whole new chapter is devoted to modeling of integrated, nearly integrated and co-integrated time series.

State Space Modeling of Time Series

Science & Math

Mathematics

Optimal Control and System Theory in Dynamic Economic Analysis

Physics

Elsevier Science & Technology

The Global Macro Economy and Finance (International Economic Association Series Book 150)

Franklin Allen

Nobuhiro Kiyotaki

PALGRAVE~MACMILLAN

The Chinese Economy: A New Transition (International Economic Association Series)

Jinglian, Wu

Springer-Verlag Berlin and Heidelberg GmbH & Co. K

See the best price to sell, buy, or rent books by Masahiko Aoki. BookScouter helps to compare book prices from 25+ online bookstores and 30+ buyback vendors with a single search.

Books by Masahiko Aoki