Titlebook: Introduction to Modern Time Series Analysis; Gebhard Kirchg?ssner,Jürgen Wolters Book 20071st edition Springer-Verlag Berlin Heidelberg 20

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Introduction and Basics,Time series have always been used in the field of econometrics. Already at the outset, . (1939) constructed the first econometric model for the United States and thus started the scientific research programme of empirical econometrics. At that time, however, it was hardly taken into account that chr

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Osmosis

Granger Causality,sed on these models. However, the world does not consist of independent stochastic processes. Just the contrary: in accordance with general equilibrium theory, economists usually assume that everything depends on everything else. Therefore, the next question that arises is about (causal) relationshi

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Vector Autoregressive Processes,tions that might exist between two time series. Subsequently, the approach was extended to situations with more than two time series. Such a procedure where models are developed bottom up to describe relations is hardly compatible with the economic approach of theorising where — at least in principl

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Alveoli

Autoregressive Conditional Heteroskedasticity,sense that the variance of the forecast errors will be minimised, is given by the conditional mean of the underlying model. Here, it is assumed that the residuals are not only uncorrelated but also homoskedastic, i.e. that the unexplained fluctuations have no dependencies in the second moments. Howe

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Gebhard Kirchg?ssner,Jürgen Woltersnamical behavior, from simple to very complex. In his pioneering work of 1963, E. Lorenz showed that his simple system of nonlinear differential equations describing a forced dissipative hydrodynamical flow was able to produce, in addition to regular behavior, aperiodic bounded solutions and discont

Costume

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Gebhard Kirchg?ssner,Jürgen Wolters,…). Their basic properties are assumed, for instance the facts that given two such numbers . and . we have either . < ., . = ., or . > ., that every natural number . has an immediate successor . + 1 which also is the least number > ., and that every natural number is a successor of 1. They have som