Applied Time Series Analysis: A Practical Guide to Modeling and Forecasting

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Elsevier, Jan 24, 2019 - Business & Economics - 354 pages

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.

 

Contents

Time Series and Their Features
1
Transforming Time Series
13
ARMA Models for Stationary Time Series
31
ARIMA Models for Nonstationary Time Series
57
and Fractional Differencing
71
Trend Versus Difference Stationarity
77
Other Approaches to Testing for a Unit Root
83
Fractional Differencing and Long Memory
90
Conditional Heteroskedastic Processes
161
Forecasting From an ARMAGARCH Model
168
Transfer Functions and Autoregressive Distributed
201
Vector Autoregressions and Granger Causality
211
Error Correction Spurious Regressions
233
Vector Autoregressions With Integrated Variables
255
Identification of Vector Error Correction Models
264
Vector Error Correction ModelX Models
271

Estimating the Fractional Differencing Parameter
96
Breaking and Nonlinear Trends
103
An Introduction to Forecasting With Univariate
121
Unobserved Component Models Signal Extraction
131
Seasonality and Exponential Smoothing
145
Endnotes
279
State Space Models
299
Some Concluding Remarks
311
Index
329
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About the author (2019)

Terence Mills is Professor of Applied Statistics and Econometrics at Loughborough University and has well over 200 publications, beginning in 1977 with a paper in the European Economic Review. He has since published in most of the international economic, economic history, econometrics, finance and statistics journals and in a range of other journals, including Journal of Climate, Climatic Change, Journal of Cosmology, International Journal of Body Composition Research, Physica A, Energy and Buildings, and Journal of Public Health. He has also written or edited almost 20 books, including a range of introductory statistics and econometric texts, handbooks on econometrics, and histories of time series analysis.

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