Time Series Analysis究竟有什么用?这里想引用下Hamilton在书中Preface里开篇的第一句话“Much of economics is concerned with modeling dynamics. There has been an explosion of research in this area in the last decade, as “time series econometrics” has practically come to be synonymous with “empirical...
强平稳性:要求时间序列的联合分布在时间的平移变化下保持不变,且该特征对于任意的时间长度都成立 弱平稳性:要求时间序列rt的均值与rt和rt−l的协方差不随时间变化。直观地说,该时间序列在一个常数水平上下以相同幅度波动(这也意味着能够得到较为准确的预测) 自相关系数 定义时间序列的线性相依关系: ρℓ=Cov...
(1980), Some Comments on The Role of Time Series Analysis in Econometrics, (Ed.:Jon Kmenta), New York, James B. Ramsey Academic Press.C. W. J. Granger.Some Comments on the Role of Time-Series Analysis inEconometrics, NBER Chapters in: Evaluation of Econometric Models. . 1980...
对于收益率的分布，考虑CAPM模型和资产收益率的动态结构。收益率的分布可以分解为当期收益率与历史收益率之间的关系，从而得到联合分布。线性时间序列分析中，平稳性分为强平稳性和弱平稳性。强平稳性要求时间序列的联合分布不随时间变化，而弱平稳性要求时间序列的均值与协方差不随时间变化。自相关系数描述...
TimeSeriesEconometrics剖析 TimeSeriesEconometrics:Asst.Prof.Dr.MeteFeridunDepartmentofBankingandFinanceFacultyofBusinessandEconomics EasternMediterraneanUniversity Whatisatimeseries?Atimeseriesisanyseriesofdatathatvariesovertime.Forexample •MonthlyTouristArrivalsfromKorea•QuarterlyGDPofLaos•Hourlypriceofstocksand...
Time Series Econometrics 作者:Pesaran, Bahram; Pesaran, M. Hashem; 出版年:2009-9 页数:592 定价:$ 67.80 ISBN:9780199563531 豆瓣评分 目前无人评价 评价: 写笔记 写书评 加入购书单 分享到 内容简介· ··· Microfit 5.0 is an interactive, menu-driven program with a host of facilities for estimat...
Time Series Models In econometrics, finance and other fields 下载积分: 10000 内容提示: 文档格式:PDF | 页数:240 | 浏览次数:1 | 上传日期:2025-02-25 20:31:25 | 文档星级: 阅读了该文档的用户还阅读了这些文档 342 p. Quaternary of South America and Antarctic Peninsula Volume 6 273 p. ...
InterpretingaTimeSeries Timedomain:A“process”y(t)=ax(t)+by(t-1)+…Regressionlikeapproach/interpretation Frequencydomain:Asumofterms y(t)= ContributiojnojfCdoiffse(renjttf)requenci(ets)totheobservedseries.(“Highfrequencydataandfinancialeconometrics–“frequency”isusedslightlydifferentlyhere.)For...
《时间序列计量经济学杂志》(Journal Of Time Series Econometrics)是一本以SOCIAL SCIENCES, MATHEMATICAL METHODS综合研究为特色的国际期刊。该刊由Walter de Gruyter出版商该刊已被国际重要权威数据库SCIE收录。期刊聚焦SOCIAL SCIENCES, MATHEMATICAL METHODS领域的重点研究和前沿进展,及时刊载和报道该领域的研究成果,致力...