Cover for Applied Time Series Analysis

Applied Time Series Analysis

A Practical Guide to Modeling and Forecasting

Book2019

Authors:

Terence C. Mills

Applied Time Series Analysis

A Practical Guide to Modeling and Forecasting

Book2019

 

Cover for Applied Time Series Analysis

Authors:

Terence C. Mills

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Book description

Written for those who need an introduction, Applied Time Series Analysis reviews applications of the popular econometric analysis technique across disciplines. Carefully balancing ... read full description

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  2. Book chapterAbstract only

    Chapter 1 - Time Series and Their Features

    Pages 1-12

  3. Book chapterAbstract only

    Chapter 2 - Transforming Time Series

    Pages 13-30

  4. Book chapterAbstract only

    Chapter 3 - ARMA Models for Stationary Time Series

    Pages 31-56

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    Chapter 4 - ARIMA Models for Nonstationary Time Series

    Pages 57-69

  6. Book chapterAbstract only

    Chapter 5 - Unit Roots, Difference and Trend Stationarity, and Fractional Differencing

    Pages 71-101

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    Chapter 6 - Breaking and Nonlinear Trends

    Pages 103-119

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    Chapter 7 - An Introduction to Forecasting With Univariate Models

    Pages 121-130

  9. Book chapterAbstract only

    Chapter 8 - Unobserved Component Models, Signal Extraction, and Filters

    Pages 131-144

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    Chapter 9 - Seasonality and Exponential Smoothing

    Pages 145-160

  11. Book chapterAbstract only

    Chapter 10 - Volatility and Generalized Autoregressive Conditional Heteroskedastic Processes

    Pages 161-171

  12. Book chapterAbstract only

    Chapter 11 - Nonlinear Stochastic Processes

    Pages 173-199

  13. Book chapterAbstract only

    Chapter 12 - Transfer Functions and Autoregressive Distributed Lag Modeling

    Pages 201-210

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    Chapter 13 - Vector Autoregressions and Granger Causality

    Pages 211-231

  15. Book chapterAbstract only

    Chapter 14 - Error Correction, Spurious Regressions, and Cointegration

    Pages 233-253

  16. Book chapterAbstract only

    Chapter 15 - Vector Autoregressions With Integrated Variables, Vector Error Correction Models, and Common Trends

    Pages 255-279

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    Chapter 16 - Compositional and Count Time Series

    Pages 281-297

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    Chapter 17 - State Space Models

    Pages 299-309

  19. Book chapterAbstract only

    Chapter 18 - Some Concluding Remarks

    Pages 311-313

  20. Book chapterNo access

    References

    Pages 315-327

  21. Book chapterNo access

    Index

    Pages 329-339

About the book

Description

Written for those who need an introduction, Applied Time Series Analysis reviews applications of the popular econometric analysis technique across disciplines. Carefully balancing accessibility with rigor, it spans economics, finance, economic history, climatology, meteorology, and public health. Terence Mills provides a practical, step-by-step approach that emphasizes core theories and results without becoming bogged down by excessive technical details. Including univariate and multivariate techniques, Applied Time Series Analysis provides data sets and program files that support a broad range of multidisciplinary applications, distinguishing this book from others.

Written for those who need an introduction, Applied Time Series Analysis reviews applications of the popular econometric analysis technique across disciplines. Carefully balancing accessibility with rigor, it spans economics, finance, economic history, climatology, meteorology, and public health. Terence Mills provides a practical, step-by-step approach that emphasizes core theories and results without becoming bogged down by excessive technical details. Including univariate and multivariate techniques, Applied Time Series Analysis provides data sets and program files that support a broad range of multidisciplinary applications, distinguishing this book from others.

Key Features

  • Focuses on practical application of time series analysis, using step-by-step techniques and without excessive technical detail
  • Supported by copious disciplinary examples, helping readers quickly adapt time series analysis to their area of study
  • Covers both univariate and multivariate techniques in one volume
  • Provides expert tips on, and helps mitigate common pitfalls of, powerful statistical software including EVIEWS and R
  • Written in jargon-free and clear English from a master educator with 30 years+ experience explaining time series to novices
  • Accompanied by a microsite with disciplinary data sets and files explaining how to build the calculations used in examples
  • Focuses on practical application of time series analysis, using step-by-step techniques and without excessive technical detail
  • Supported by copious disciplinary examples, helping readers quickly adapt time series analysis to their area of study
  • Covers both univariate and multivariate techniques in one volume
  • Provides expert tips on, and helps mitigate common pitfalls of, powerful statistical software including EVIEWS and R
  • Written in jargon-free and clear English from a master educator with 30 years+ experience explaining time series to novices
  • Accompanied by a microsite with disciplinary data sets and files explaining how to build the calculations used in examples

Details

ISBN

978-0-12-813117-6

Language

English

Published

2019

Copyright

Copyright © 2019 Elsevier Inc. All rights reserved.

Imprint

Academic Press

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Authors

Terence C. Mills

Loughborough University, Loughborough, United Kingdom