Time Series and Statistics
This is an excerpt from the 4-volume dictionary of economics, a reference book which aims to define the subject of economics today. 1300 subject entries in the complete work cover the broad themes of economic theory. This extract concentrates on time seri
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PALGRAVE
TIME SERIES AND STATSTCS
THE NEW
PALGRAVJE
THE ERES
AND TATSTCS EDITED BY
JOHN EATWELL . MURRAYMILGATE . PETER NEWMAN
M
MACMILLAN REFERENCE BOOKS
© The Macmillan Press Limited, 1987, 1990 All rights reserved. No part of this publication may be reproduced or transmitted, in any form or by any means, without permission. First published in The New Palgrave: A Dictionary oj Economics Edited by John Eatwell, Murray Milgate and Peter Newman in four volumes, 1987 Published in the United Kingdom by THE MACMILLAN PRESS LIMITED, 1990 London and Basingstoke Associated companies in Auckland, Delhi, Dublin, Gaborone, Hamburg, Harare, Hong Kong, Johannesburg, Kuala Lumpur, Lagos, Manzini, Maseru, Melbourne, Mexico City, Nairobi, New York, Singapore, Tokyo. The New Palgrave is a trademark of The Macmillan Press Limited British Library Cataloguing in Publication Data
The New Palgrave: time series and statistics. 1. Economics. Time series. Analysis I. Eatwell, John II. Milgate, Murray III. Newman, Peter 330'.01'51955 ISBN 978-0-333-49551-3 ISBN 978-1-349-20865-4 (eBook) DOI 10.1007/978-1-349-20865-4 Sept 90
Contents
General Preface Preface Statistical inference in time series ARIMA models Autoregressive and moving average time-series models Bayesian inference Continuous and discrete time models Edgeworth as a statistician Ergodic theory Estimation Factor analysis Ronald Aylmer Fisher Forecasting Heteroskedasticity Harold Hotelling Hypothesis testing Least squares Likelihood Martingales Maximum likelihood Meaningfulness and invariance Mean value Measurement
VII XI
Peter Whittle
A.c. Harvey
Marc Nerlove and Francis X. Diebold Arnold Zellner Christopher A. Sims Stephen M. Stigler William Parry Marc Nerlove and Francis X. Diebold Irma Adelman A.W.F. Edwards Clive W.J. Granger 1. Kmenta Kenneth J. Arrow Gregory C. Chow Halbert White A. W.F. Edwards Alan F. Karr Robert L. Basmann Louis Narens and R. Duncan Luce Soo Hong Chew R. Duncan Luce and Louis Narens
1
22 25
36 62 69 73 82 90 95 98 103 105 109 118 126 130 134 140 149 159 v
Contents
Monte Carlo methods Multivariate time series models Non-parametric statistical methods Outliers Prediction Principal components Randomization Random variables Regression and correlation analysis Residuals Semi parametric estimation Sequential analysis Eugen Slutsky Spectral analysis Spline functions Stationary time series Statistical decision theory Statistical inference Time series analysis Transformation of statistical variables Abraham Wald Weiner process Contributors
VI
John G. Cragg Christopher A. Sims Joseph L. Gastwirth William S. Krasker Peter Whittle T. Kloek James O. Berger 1. Richard Savage Dennis V. Lindley F.J. Anscombe Stephen R. Cosslett James O. Berger Giancarlo Gandolfo Clive W. Granger Dale J. Poirier E.J. Hannan James O. Berger Dennis V. Lindley Marc Nerlove and Francis X. Diebold D.R. Cox E.R. Weintraub A.G. Malliaris
171 175 187 194 198 204 208 211 237 244 251 256 259 263 268 271 277 285 294 310 314 316 319
General Preface
The books in this ser
