Granger / Hatanaka Spectral Analysis of Economic Time Series. (PSME-1)

Erscheinungsjahr 2015
ISBN: 978-1-4008-7552-8
Verlag: De Gruyter
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, Band 2066, 318 Seiten, Web PDF

Reihe: Princeton Studies in Mathematical Economics

The important data of economics are in the form of time series; therefore, the statistical methods used will have to be those designed for time series data. New methods for analyzing series containing no trends have been developed by communication engineering, and much recent research has been devoted to adapting and extending these methods so that they will be suitable for use with economic series. This book presents the important results of this research and further advances the application of the recently developed Theory of Spectra to economics. In particular, Professor Hatanaka demonstrates the new technique in treating two problems-business cycle indicators, and the acceleration principle existing in department store data.

Originally published in 1964.

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Autoren/Hrsg.

Granger, Clive William John

Hatanaka, Michio

Fachgebiete

• Wirtschaftswissenschaften Wirtschaftswissenschaften Wirtschaftswissenschaften: Allgemeines

Inhaltsverzeichnis

Frontmatter, pg. i
Foreword, pg. vii
Preface, pg. xi
Contents, pg. xv
Chapter 1. Introduction to the Analysis of Time Series, pg. 1
Chapter 2. Nature of Economic Time Series, pg. 12
Chapter 3. Spectral Theory, pg. 25
Chapter 4. Spectral Analysis of Economic Data, pg. 52
Chapter 5. Cross-spectral Analysis, pg. 74
Chapter 6. Cross-spectral Analysis of Economic Data, pg. 95
Chapter 7. Processes Involving Feedback, pg. 109
Chapter 8. Series With Trending Means, pg. 129
Chapter 9. Series with Spectrum Changing with Time, pg. 147
Chapter 10. Demodulation, pg. 170
Chapter 11. Non-stationarity and Economic Series, pg. 190
Chapter 12. Application of Cross-spectral Analysis and Complex Demodulation: Business Cycle Indicators, pg. 207
Chapter 13. Application of Partial Cross-spectral Analysis: Tests of Acceleration Principle for Inventory Cycle, pg. 263
Chapter 14. Problems Remaining, pg. 294
Index, pg. 297