The notion of state; Time-invariant linear dynamics; Time series representation; Equivalence of ARMA and state space models; Decomposition of data into cyclical and growth components; Prediction of time series; Spectrum and covariances; Estimation of system matrices: initial phase; Innovation processes; Time series from intertemporal optimization; Identification; Time series from rational expectations models; Numerical examples.The notion of state; Time-invariant linear dynamics; Time series representation; Equivalence of ARMA and state space models; Decomposition of data into cyclical and growth components; Prediction of time series; Spectrum and covariances; ...

Title | : | Notes on Economic Time Series Analysis |

Author | : | M. Aoki |

Publisher | : | Springer Verlag - 1983 |

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