دانلود کتاب Spectral Analysis of Economic Time Series. (PSME-1)

فهرست مطالب :

Foreword\nPreface\nContents\nChapter 1. Introduction to the Analysis of Time Series\n 1.1 Introduction\n 1.2 Concise History of Time Series Analysis\n 1.3 Plan of the Book\n References\nChapter 2. Nature of Economic Time Series\n 2.1 Classification of Economic Series from a Statistical Viewpoint\n 2.2 Trends and Seasonal Variation\n 2.3 Business Cycles and Economic Fluctuations\n 2.4 SomeImportant Advantages of Using Spectral Methods of Analysis\n 2.5 Beveridge\'s Annual Wheat Price Series\n References\nPART A. STATIONARY TIME SERIES\n Chapter 3. Spectral Theory\n 3.1 Definitions\n 3.2 Power Spectra\n 3.3 Black Boxes and Processes with Rational Spectral Functions\n 3.4 Filters\n 3.5 Estimation of the Power Spectrum\n 3.6 Nyquist Frequency, Aliasing\n 3.7 Transformations of Stationary Processes\n Appendix\n References\n Chapter 4. Spectral Analysis of Economic Data\n 4.1 An Analogy\n 4.2 Economic implications of Spectral Decomposition\n 4.3 Spectral Estimation\n 4.4 Examples of Estimated Spectra\n 4.5 Normality of Economic Series\n 4.6 Some Special Filters\n References\n Chapter 5. Cross-spectral Analysis\n 5.1 Cross-spectral Theory\n 5.2 Coherence, Phase, Gain, and Argand Diagrams\n 5.3 Processes differing only in Phase\n 5.4 Special Cases\n 5.5 Estimationof(Xf)\n 5.6 Case when Coherence is not a Constant\n 5.7 Sums and Products of Related Series\n 5.8 The Partial Cross-spectrum and other Generalizations\n References\n Chapter 6. Cross-spectral Analysis of Economic Data\n 6.1 Introduction\n 6.2 Relationships between Economic Series\n 6.3 Estimating Cross-spectra\n 6.4 An Example of Estimated Cross-spectra\n 6.5 A Note on the Interpretation of Coherence\n Chapter 7. Processes Involving Feedback\n 7.1 Feedback and Cross-spectral Analysis\n 7.2 Some Preliminary Results\n 7.3 Definitions of Causality and Feedback\n 7.4 Time-lags Connected with Causality and Feedback\n 7.5 Strength of Causality and Feedback\n 7.6 Tests for Causality and Feedback\n 7.7 Removing the Basic Assumption of Section 7.3\n 7.8 Calculations Involved in Testing for Feedback\n 7.9 Causality and Feedback Varying with Frequency\n 7.10 Summary and Conclusions\n References\nPART B. NON-STATIONARY TIME SERIES\n Chapter 8. Series With Trending Means\n 8.1 Introduction\n 8.2 Leakage Problems\n 8.3 Regression Analysis\n 8.4 Filters for Determining Trend\n 8.5 Conclusion\n References\n Chapter 9. Series with Spectrum Changing with Time\n 9.1 Definitions\n 9.2 Particular Cases\n 9.3 Effect of Non-stationarity on Estimated Spectrum and Crossspectrum\n 9.4 Some Experiments Designed to Check the Results of the Previous Section\n 9.5 The Use of Filters with Non-stationary Series\n References\n Chapter 10. Demodulation\n 10.1 Introduction\n 10.2 Demodulation\n 10.3 Practical Aspects of Demodulation\n 10.4 Uses and Examples of Demodulation\n References\n Chapter 11. Non-stationarity and Economic Series\n 11.1 Visible trends in Time Series\n 11.2 Trends in Mean\n 11.3 Trends in Variance\n 11.4 Spectrum Changing with Time\n 11.5 Contamination: Gaps, Strikes, Crises, and Wars\n 11.6 Quality of Data and Effects of Errors\n 11.7 Effect of Varying Month-length\n References\n Chapter 12. Application of Cross-spectral Analysis and Complex Demodulation: Business Cycle Indicators (by M. Hatanaka)\n 12.1 Business Cycle Indicators\n 12.2 Lead-lag in terms of all Time Points\n 12.3 Frequency Band for the Major Component of the Cyclical Component\n 12.4 New Problems Brought Out by Cross-spectral Analysis\n 12.5 Selection of Cycle Indicators and Reference Time Series\n 12.6 Experiences with Filtering\n 12.7 Strength of Cyclical Components: A Digression\n 12.8 Examples of Cross-spectra and their Interpretations\n 12.9 Conclusions from the Cross-spectra\n 12.10 Complex Demodulation to Study the Changes in Lead-lag\n 12.11 Examples of Complex Demodulation to Study the Changes in Lead-lag\n 12.12 Suggestions for future study\n Chapter 13. Application of Partial Cross-spectral Analysis: Tests of Acceleration Principle for Inventory Cycle (by M. Hatanaka)\n 13.1 Inventory Cycle\n 13.2 A simple Version of the Acceleration Principle\n 13.3 The Acceleration Principle compared with the Square Root Principle and the \"Supply Conditions\" Hypothesis\n 13.4 Testing Procedures with the use of Cross-spectra and Partial Crossspectra\n 13.5 Results of the Tests\n 13.6 Different Assumptions as to Sales Expectations and their Effects upon the Results of the Tests\n 13.7 Treatment of Outstanding Orders\n 13.8 Conclusions\n Chapter 14. Problems Remaining\n 14.1 Some Problems to be Solved\n 14.2 Conclusions\nIndex