Lecture Notes in Economics and Mathematical Systems Volume 454, 1997, pp 1-5 In the last decade time series econometrics has changed dramatically. One increasingly prominent field has become the treatment of regime shifts and non-linear mod- elling strategies. While the importance ofregime shifts...
时间序列分析(全部课件)time series analysis.pdf,Time Series Analysis 2009 Index Lecture 1 (上) 1 Lecture 1 (下) 11 Lecture 2 (上) 24 Lecture 2 (下) 34 Lecture 3 (上) 46 Lecture 3 (下) 59 Lecture 4 (上) 69 Lecture 4 (下) 79 Lecture 5 (上) 94 Lecture 5 (
econometricsMacro-economic models describe the dynamics of economic quantities. The estimations and forecasts produced by such models play a substantial role for financial and political decisions. In this contribution we describe an approach based on genetic programming and symbolic regression to identify ...
The Econometrics of Structural Change. North-Holland, Amsterdam. BIBLIOGRAPHY 437 M. POLLAK (1985). Optimal detection of a change in distribution. Annals Statistics, vol.13, pp.206-227. M. POLLAK (1987). Average run lengths of an optimal method of detecting a change in distribution. Annals ...
T.W.ANDERSON(1971).TheStatisticalAnalysisofTimeSeries.SeriesinProbabilityandMathematical Statistics,Wiley,NewYork. R.ANDRE-OBRECHT(1988).Anewstatisticalapproachfortheautomaticsegmentationofcontinuous speechsignals.IEEETrans.Acoustics,Speech,SignalProcessing,vol.ASSP-36,no1,pp.29-40. R.ANDRE-OBRECHT(1990)....
(1944) The probability approach in econometrics. Econometrica 12(Supplement), 1–115. Hannan, E. J. (1960) Time Series Analysis, Methuen, New York. Hannan, E. J. (1970) Multiple time series, New York: Wiley. Hannan, E. J. and Deistler, M. (1998) The Statistical Theory of Linear ...
The last ten years have witnessed an increasing interest of the econometrics community in spectral theory. In fact, decomposing the series evolution in per... A Iacobucci - 《Lecture Notes in Economics & Mathematical Systems》 被引量: 102发表: 2003年 Correlations in financial time series: establ...
usedintime-serieseconometrics.STATAwasincludedsinceitisapopular packagethatmostwouldnotconsidertobeatime-seriespackage. Nevertheless,asshownbelow,STATAcanproducealmostalloftheresults obtainedinthetext.AdobeAcrobatallowsyoutocopyaprogramfromthe *.pdfversionofthismanualandpasteitdirectlyintoSTATAorRATS. ...
- 《Journal of Econometrics》 被引量: 486发表: 2001年 Sudden changes in volatility: The case of five central European stock markets also reveals that when sudden shifts are taken into account in the GARCH models, the persistence of volatility is reduced significantly in every series. It... ...
Time series data are a collection of chronological observations which are generated by several domains such as medical and financial fields. Over the years