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State Space Modeling of Time Series (Paperback, Softcover reprint of the original 2nd ed. 1990)
Loot Price: R1,498
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State Space Modeling of Time Series (Paperback, Softcover reprint of the original 2nd ed. 1990)
Series: Universitext
Expected to ship within 10 - 15 working days
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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.
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