Time Series Analysis: Regression Techniques: Quantitative Applications in the Social Sciences, cartea 9
Autor Charles W. Ostromen Limba Engleză Electronic book text – 30 mar 1990
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Specificații
ISBN-13: 9781452211008
ISBN-10: 1452211000
Pagini: 96
Dimensiuni: 140 x 216 mm
Ediția:1
Editura: SAGE Publications
Colecția Sage Publications, Inc
Seria Quantitative Applications in the Social Sciences
Locul publicării:Thousand Oaks, United States
ISBN-10: 1452211000
Pagini: 96
Dimensiuni: 140 x 216 mm
Ediția:1
Editura: SAGE Publications
Colecția Sage Publications, Inc
Seria Quantitative Applications in the Social Sciences
Locul publicării:Thousand Oaks, United States
Cuprins
Introduction
Time Series Regression Analysis
Nonlagged Case
A Ratio Goal Hypothesis
The Error Term
Time Series Regression Model
Nonautoregression Assumption
Consequences of Violating the Nonautoregression Assumption
Conventional Tests for Autocorrelation
An Alternative Method of Estimation
EGLS Estimation (First-Order Autocorrelation)
Small Sample Properties
The Ratio Goal Hypothesis Reconsidered
Extension to Multiple Regression
Conclusion
Alternative Time-Dependent Processes
Alternative Processes
Testing for Higher Order Processes
Process Identification
Estimation
Example
Estimation of Models with Errors Generated by Alternative Time Dependent Processes
Example
Ratio Goal Model Reconsidered
Conclusion
Time Series Regression Analysis
Lagged Case
Distributed Lag Models
Lagged Endogenous Variables
Testing for Autocorrelation in Models with Lagged Endogenous Variables
Estimation
EGLA Estimation
Example
A Revised Ratio Goal Model
Interpreting Distributed Lag Models
Conclusion
Forecasting
Forecast Error
Forecast Generation
Modifying the Forecast Equation
Forecast Evaluation
Example
Conclusion
Summary
Time Series Regression Analysis
Nonlagged Case
A Ratio Goal Hypothesis
The Error Term
Time Series Regression Model
Nonautoregression Assumption
Consequences of Violating the Nonautoregression Assumption
Conventional Tests for Autocorrelation
An Alternative Method of Estimation
EGLS Estimation (First-Order Autocorrelation)
Small Sample Properties
The Ratio Goal Hypothesis Reconsidered
Extension to Multiple Regression
Conclusion
Alternative Time-Dependent Processes
Alternative Processes
Testing for Higher Order Processes
Process Identification
Estimation
Example
Estimation of Models with Errors Generated by Alternative Time Dependent Processes
Example
Ratio Goal Model Reconsidered
Conclusion
Time Series Regression Analysis
Lagged Case
Distributed Lag Models
Lagged Endogenous Variables
Testing for Autocorrelation in Models with Lagged Endogenous Variables
Estimation
EGLA Estimation
Example
A Revised Ratio Goal Model
Interpreting Distributed Lag Models
Conclusion
Forecasting
Forecast Error
Forecast Generation
Modifying the Forecast Equation
Forecast Evaluation
Example
Conclusion
Summary
Descriere
The
great
advantage
of
time
series
regression
analysis
is
that
it
can
both
explain
the
past
and
predict
the
future
behavior
of
variables.
This
volume
explores
the
regression
(or
structural
equation)
approach
to
the
analysis
of
time
series
data.
It
also
introduces
the
Box-Jenkins
time
series
method
in
an
attempt
to
bridge
partially
the
gap
between
the
two
approaches.