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Applications of Computer Aided Time Series Modeling

  • Conference proceedings
  • © 1997

Overview

Editors:
  1. Masanao Aoki

    1. Department of Economics, University of California Los Angeles, Los Angeles, USA

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    You can also search for this editor in PubMed   Google Scholar

  2. Arthur M. Havenner

    1. Department of Agricultural Economics, University of California, Davis, Davis, USA

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    You can also search for this editor in PubMed   Google Scholar

Part of the book series: Lecture Notes in Statistics (LNS, volume 119)

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Table of contents (12 papers)

  1. Front Matter

    Pages i-vi
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  2. Introduction to State Space Modeling

    1. Front Matter

      Pages 1-1
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    2. The SSATS Algorithm and Subspace Methods

      • Masanao Aoki
      Pages 3-13

    3. A Guide to State Space Modeling of Multiple Time Series

      • Arthur Havenner
      Pages 15-72

  3. Applications of State Space Algorithm

    1. Front Matter

      Pages 73-73
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    2. Evaluating State Space Forecasts of Soybean Complex Prices

      • Derek Berwald, Arthur Havenner
      Pages 75-89

    3. Forecasts of Monthly U.S. Wheat Prices: A Spatial Market Analysis

      • Channing Arndt, Kenneth Foster
      Pages 91-105

    4. Managing the Herd: Price Forecasts for California Cattle Production

      • Lorraine M. Egan, Arthur M. Havenner
      Pages 107-119

    5. Labor Market and Cyclical Fluctuations

      • Riccardo Fiorito
      Pages 121-140

    6. Modeling Cointegrated Processes by a Vector-Valued State Space Algorithm — Evidence on The Impact of Japanese Stock Prices on The Finnish Derivatives Market

      • Ralf Östermark
      Pages 141-179

    7. A Method for Identification of Combined Deterministic Stochastic Systems

      • David Di Ruscio
      Pages 181-235

    8. Competing Exchange Rate Models: A State Space Model vs Structural and Time Series Alternatives

      • Jeffrey H. Dorfman
      Pages 237-253

    9. Application of State-Space Models to Ocean Climate Variability in the Northeast Pacific Ocean

      • Roy Mendelssohn, Franklin B. Schwing
      Pages 255-278

  4. Applications of Neural Networks

    1. Front Matter

      Pages 279-279
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    2. On the Equivalence Between ARMA Models and Simple Recurrent Neural Networks

      • Henrik Saxén
      Pages 281-289

    3. Forecasting Stock Market Indices with Recurrent Neural Networks

      • Maxwell J. Rhee
      Pages 291-335

  5. Back Matter

    Pages 237-238
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Keywords

About this book

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 model specifications increase efficiency of estimators and often eliminate this finite sample problem. This is an important insight into the positive realness of covariance matrices; positivity has been emphasized by system engineers to the exclusion of other methods of reducing sampling error and alleviating what is simply a finite sample problem. The second and third parts collect papers that describe specific applications.

Editors and Affiliations

  • Department of Economics, University of California Los Angeles, Los Angeles, USA

    Masanao Aoki

  • Department of Agricultural Economics, University of California, Davis, Davis, USA

    Arthur M. Havenner

Bibliographic Information

  • Book Title: Applications of Computer Aided Time Series Modeling

  • Editors: Masanao Aoki, Arthur M. Havenner

  • Series Title: Lecture Notes in Statistics

  • DOI: https://doi.org/10.1007/978-1-4612-2252-1

  • Publisher: Springer New York, NY

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag New York, Inc. 1997

  • Softcover ISBN: 978-0-387-94751-8Published: 15 November 1996

  • eBook ISBN: 978-1-4612-2252-1Published: 06 December 2012

  • Series ISSN: 0930-0325

  • Series E-ISSN: 2197-7186

  • Edition Number: 1

  • Number of Pages: VII, 335

  • Number of Illustrations: 220 b/w illustrations

  • Topics: Applications of Mathematics

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