Analysis of Economic Time Series: A Synthesis(Economic Theory, Econometrics, and Mathematical Economics)

In this edition which has been reprinted with corrections, Nerlove and his co-authors illustrate techniques of spectral analysis and methods based on parametric models in the analysis of economic time series. The book provides a means and a method for incorporating economic intuition and theory in the formulation of time-series models useful in forecasting, in the formulation and estimation of distributed lag models, and in other applications, such as seasonal adjustment. Analysis of Economic Time Series is a useful primary text for graduate students and an attractive reference for researchers.

Table of Contents:
A History of the Idea of Unobserved Components in the Analysis of Economic Time Series. Introduction to the Theory of Stationary Time Series. The Spectral Representation and Its Estimation. Formulation and Analysis of Unobserved-Components Models. Elements of the Theory of Prediction and Extraction. Formulation of Unobserved-Components Models and Canonical Forms. Estimation of Unobserved-Components and Canonical Models. Appraisal of Seasonal Adjustment Techniques. On the Comparative Structure of Serial Dependence in Some U.S. Price Series. Formulation and Estimation of Mixed Moving-Average Autoregressive Models for Single Time Series: Examples. Formulation and Estimation of Multivariate Mixed Moving-Average Autoregressive Time-Series Models. Formulation and Estimation of Unobserved-Components Models: Examples. Application to the Formulation of Distributed-Lag Models. A Time-Series Model of the U.S. Cattle Industry. Appendices: The Work of Buys Ballot. Some Requisite Theory of Functions of a Complex Variable. Fourier Series and Analysis. Whittle's Theorem. Inversion of Tridiagonal Matrices and a Method for Inverting Toeplitz Matrices. Spectral Densities, Actual and Theoretical, Eight Series. Derivation of a Distributed-Lag Relation between Sales and Production: A Simple Example. References. Author Index. Subject Index.

Review :
"The authors clearly reveal their mastery of the area." --TECHNOMETRICS "Besides offering the convenience of a one-volume collection, the books format provides the authors with the opportunity to engage in discursive essays, which are often insightful and stimulating... The balance between theory and examples makes it an attractive book for use in a special topics course." --JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION