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Notes on Economic Time Series Analysis: System Theoretic Perspectives

  • Book
  • © 1983

Overview

Authors:
  1. Masanao Aoki

    1. The Institute of Social and Economic Research, Osaka University, Ibaraki, Osaka 567, Japan

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Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 220)

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Table of contents (14 chapters)

  1. Front Matter

    Pages N2-IX
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  2. Introduction

    • Masanao Aoki
    Pages 1-4

  3. The Notion of State

    • Masanao Aoki
    Pages 5-6

  4. Time-Invariant Linear Dynamics

    • Masanao Aoki
    Pages 7-14

  5. Time Series Representation

    • Masanao Aoki
    Pages 15-21

  6. Equivalence of Arma and State Space Models

    • Masanao Aoki
    Pages 22-32

  7. Decomposition of Data into Cyclical and Growth Components

    • Masanao Aoki
    Pages 33-37

  8. Prediction of Time Series

    • Masanao Aoki
    Pages 38-47

  9. Spectrum and Covariances

    • Masanao Aoki
    Pages 48-59

  10. Estimation of System Matrices: Initial Phase

    • Masanao Aoki
    Pages 60-89

  11. Innovation Processes

    • Masanao Aoki
    Pages 90-105

  12. Time Series from Intertemporal Optimization

    • Masanao Aoki
    Pages 106-131

  13. Identification

    • Masanao Aoki
    Pages 132-139

  14. Time Series from Rational Expectations Models

    • Masanao Aoki
    Pages 140-153

  15. Numerical Examples

    • Masanao Aoki
    Pages 154-177

  16. Back Matter

    Pages 178-255
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Keywords

About this book

In seminars and graduate level courses I have had several opportunities to discuss modeling and analysis of time series with economists and economic graduate students during the past several years. These experiences made me aware of a gap between what economic graduate students are taught about vector-valued time series and what is available in recent system literature. Wishing to fill or narrow the gap that I suspect is more widely spread than my personal experiences indicate, I have written these notes to augment and reor­ ganize materials I have given in these courses and seminars. I have endeavored to present, in as much a self-contained way as practicable, a body of results and techniques in system theory that I judge to be relevant and useful to economists interested in using time series in their research. I have essentially acted as an intermediary and interpreter of system theoretic results and perspectives in time series by filtering out non-essential details, and presenting coherent accounts of what I deem to be important but not readily available, or accessible to economists. For this reason I have excluded from the notes many results on various estimation methods or their statistical properties because they are amply discussed in many standard texts on time series or on statistics.

Authors and Affiliations

  • The Institute of Social and Economic Research, Osaka University, Ibaraki, Osaka 567, Japan

    Masanao Aoki

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