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Time Series Analysis - Nonstationary and Noninvertible Distribution Theory 2e (Hardcover, 2nd Edition)
Loot Price: R3,389
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Time Series Analysis - Nonstationary and Noninvertible Distribution Theory 2e (Hardcover, 2nd Edition)
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Reflects the developments and new directions in the field since the
publication of the first successful edition and contains a complete
set of problems and solutions This revised and expanded edition
reflects the developments and new directions in the field since the
publication of the first edition. In particular, sections on
nonstationary panel data analysis and a discussion on the
distinction between deterministic and stochastic trends have been
added. Three new chapters on long-memory discrete-time and
continuous-time processes have also been created, whereas some
chapters have been merged and some sections deleted. The first
eleven chapters of the first edition have been compressed into ten
chapters, with a chapter on nonstationary panel added and located
under Part I: Analysis of Non-fractional Time Series. Chapters 12
to 14 have been newly written under Part II: Analysis of Fractional
Time Series. Chapter 12 discusses the basic theory of long-memory
processes by introducing ARFIMA models and the fractional Brownian
motion (fBm). Chapter 13 is concerned with the computation of
distributions of quadratic functionals of the fBm and its ratio.
Next, Chapter 14 introduces the fractional Ornstein Uhlenbeck
process, on which the statistical inference is discussed. Finally,
Chapter 15 gives a complete set of solutions to problems posed at
the end of most sections. This new edition features: Sections to
discuss nonstationary panel data analysis, the problem of
differentiating between deterministic and stochastic trends, and
nonstationary processes of local deviations from a unit root
Consideration of the maximum likelihood estimator of the drift
parameter, as well as asymptotics as the sampling span increases
Discussions on not only nonstationary but also noninvertible time
series from a theoretical viewpoint New topics such as the
computation of limiting local powers of panel unit root tests, the
derivation of the fractional unit root distribution, and unit root
tests under the fBm error Time Series Analysis: Nonstationary and
Noninvertible Distribution Theory, Second Edition, is a reference
for graduate students in econometrics or time series analysis.
Katsuto Tanaka, PhD, is a professor in the Faculty of Economics at
Gakushuin University and was previously a professor at Hitotsubashi
University. He is a recipient of the Tjalling C. Koopmans
Econometric Theory Prize (1996), the Japan Statistical Society
Prize (1998), and the Econometric Theory Award (1999). Aside from
the first edition of Time Series Analysis (Wiley, 1996), Dr. Tanaka
had published five econometrics and statistics books in Japanese.
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