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Univariate Time Series
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analysis ARIMA asset price assumed autocorrelations autoregressive Bollerslev 1987 Box-Jenkins chapter computed conditional expectation conditional heteroscedasticity denotes deterministic differenced dollar Econometrics economic error correction mechanism Error Correction Model Estimation of Fix-Price ex-post extrapolative forecasts exchange rate follows exchange rate models Exogenous Variable Forecasts explanatory variables Fix-Price Models follow a random forecast error Full Homogeneity Homogeneity Model Japanese yen Ljung-Box Test logarithm mean square error Meese and Rogoff Model With Error Model Without Error money and nominal money supply nominal output null hypothesis optimal forecast Output Qt period Phillips and Perron Phillips-Perron Test random walk model real output residuals RMSE root mean square Sample Forecasting serially uncorrelated series model Simple Monetary Model Smithsonian system spot exchange rate statistics stochastic process structural models Table take expectations unit root univariate time series values of exogenous walk without drift weak rationality Within-sample Forecasting yen-dollar exchange rate zt+k