0
Your cart

Your cart is empty

Books > Social sciences > Politics & government

Buy Now

Finance and Economics Discussion Series - Signal Extraction for Nonstationary Multivariate Time Series with Illustrations for Trend Inflation (Paperback) Loot Price: R352
Discovery Miles 3 520
You Save: R32 (8%)
Finance and Economics Discussion Series - Signal Extraction for Nonstationary Multivariate Time Series with Illustrations for...

Finance and Economics Discussion Series - Signal Extraction for Nonstationary Multivariate Time Series with Illustrations for Trend Inflation (Paperback)

Tucker S McElroy

 (sign in to rate)
List price R384 Loot Price R352 Discovery Miles 3 520 You Save R32 (8%)

Bookmark and Share

Expected to ship within 10 - 15 working days

This paper advances the theory and methodology of signal extraction by introducing asymptotic and finite sample formulas for optimal estimators of signals in nonstationary multivariate time series. Previous literature has considered only univariate or stationary models. However, in current practice and research, econometricians, macroeconomists, and policy-makers often combine related series - that may have stochastic trends--to attain more informed assessments of basic signals like underlying inflation and business cycle components. Here, we use a very general model structure, of widespread relevance for time series econometrics, including flexible kinds of nonstationarity and correlation patterns and specific relationships like cointegration and other common factor forms. First, we develop and prove the generalization of the well-known Wiener-Kolmogorov formula that maps signal-noise dynamics into optimal estimators for bi-infinite series. Second, this paper gives the first explicit treatment of finite-length multivariate time series, providing a new method for computing signal vectors at any time point, unrelated to Kalman filter techniques; this opens the door to systematic study of near end-point estimators/filters, by revealing how they jointly depend on a function of signal location and parameters. As an illustration we present econometric measures of the trend in total inflation that make optimal use of the signal content in core inflation.

General

Imprint: Bibliogov
Country of origin: United States
Release date: February 2013
First published: February 2013
Authors: Tucker S McElroy
Dimensions: 246 x 189 x 3mm (L x W x T)
Format: Paperback - Trade
Pages: 48
ISBN-13: 978-1-288-69930-8
Categories: Books > Social sciences > Politics & government > General
Promotions
LSN: 1-288-69930-1
Barcode: 9781288699308

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!

You might also like..

Eight Days In July - Inside The Zuma…
Qaanitah Hunter, Kaveel Singh, … Paperback  (1)
R360 R337 Discovery Miles 3 370
Better Choices - Ensuring South Africa's…
Greg Mills, Mcebisi Jonas, … Paperback R350 R317 Discovery Miles 3 170
Sabotage - Eskom Under Siege
Kyle Cowan Paperback  (2)
R340 R314 Discovery Miles 3 140
Imtiaz Sooliman And The Gift Of The…
Shafiq Morton Paperback  (1)
R232 Discovery Miles 2 320
100 Mandela Moments
Kate Sidley Paperback R250 R223 Discovery Miles 2 230
Killing Karoline - A Memoir
Sara-Jayne King Paperback  (1)
R325 R305 Discovery Miles 3 050
Nation On The Couch - Inside South…
Wahbie Long Paperback R335 R314 Discovery Miles 3 140
Now You Know How Mapetla Died - The…
Zikhona Valela Paperback R350 R328 Discovery Miles 3 280
Power In Action - Democracy, Citizenship…
Steven Friedman Paperback R351 Discovery Miles 3 510
Confronting Inequality - The South…
Michael Nassen Smith Paperback R250 R231 Discovery Miles 2 310
Prisoner 913 - The Release Of Nelson…
Riaan de Villiers, Jan-Ad Stemmet Paperback R399 R374 Discovery Miles 3 740
The Asian Aspiration - Why And How…
Greg Mills, Olusegun Obasanjo, … Paperback R350 R317 Discovery Miles 3 170

See more

Partners