| 期刊全称 | Applications of Computer Aided Time Series Modeling | | 影响因子2023 | Masanao Aoki,Arthur M. Havenner | | 视频video | | | 学科分类 | Lecture Notes in Statistics | | 图书封面 |  | | 影响因子 | This book consists of three parts: Part One is composed of two introductory chapters. The first chapter provides an instrumental varible interpretation of the state space time series algorithm originally proposed by Aoki (1983), and gives an introductory account for incorporating exogenous signals in state space models. The second chapter, by Havenner, gives practical guidance in apply ing this algorithm by one of the most experienced practitioners of the method. Havenner begins by summarizing six reasons state space methods are advanta geous, and then walks the reader through construction and evaluation of a state space model for four monthly macroeconomic series: industrial production in dex, consumer price index, six month commercial paper rate, and money stock (Ml). To single out one of the several important insights in modeling that he shares with the reader, he discusses in Section 2ii the effects of sampling er rors and model misspecification on successful modeling efforts. He argues that model misspecification is an important amplifier of the effects of sampling error that may cause symplectic matrices to have complex unit roots, a theoretical impossibility. Correct mod | | Pindex | Conference proceedings 1997 |
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发表于 2025-3-21 17:50:07
