Characterizing interdependencies of multiple time series : theory and applications /: theory and applications. ([2017])

• Record Type: Book
• Further Information: Note: Yuzo Hosoya, Kosuke Oya, Taro Takimoto, Ryo Kinoshita.
• Authors: Hosoya, Yuzo; Oya, Kosuke; Takimoto, Taro; Kinoshita, Ryo
• Contents: ""Preface""; ""Acknowledgements""; ""Contents""; ""1 Introduction""; ""1.1 On Empirical Causality""; ""1.2 Causality in Economic Analysis""; ""1.3 Empirical Economic Models ""; ""1.3.1 The Cowles Approach""; ""1.3.2 Economic Time-Series Models""; ""1.4 Basic Concepts for Statistical Inference""; ""1.4.1 Conditional Inference""; ""1.4.2 Defining Exogeneity""; ""1.4.3 Interpretative Problems""; ""References""; ""2 The Measures of One-Way Effect, Reciprocity, and Association""; ""2.1 Prediction and Causality""; ""2.1.1 Statement of the Problem""; ""2.1.2 Terminology and Notations"" ""2.2 Defining Non-causality""""2.3 The One-Way Effect Measure""; ""2.4 Alternative Methods for Deriving Mv tou(λ)""; ""2.4.1 Distributed-Lag Representation Approach""; ""2.4.2 Innovation Orthogonalization Approach""; ""2.5 Measures of Association and Reciprocity""; ""2.6 Examples""; ""References""; ""3 Representation of the Partial Measures""; ""3.1 Introduction""; ""3.2 Third-Series Involvement""; ""3.3 Partial Measures of Interdependence""; ""3.3.1 Representing the Partial Measures""; ""3.3.2 Glossary on Partial Measures of Interdependence""; ""3.3.3 The Stationary ARMA Model"" ""3.4 Extension to Non-stationary Reproducible Processes""""References""; ""4 Inference Based on the Vector Autoregressive and Moving Average Model""; ""4.1 Inference Procedure""; ""4.1.1 Three-Step Estimation Procedure""; ""4.1.2 Optimization Algorithm in Step 3""; ""4.1.3 Monte Carlo Wald Test of Measures of Interdependence""; ""4.1.4 Monte Carlo Wald Testing of Non-causality""; ""4.2 Simulation Performance""; ""4.2.1 Designing Monte Carlo Simulation""; ""4.2.2 Simulation Results""; ""4.2.3 Comparison of Step 2 and Step 3 Estimation""; ""4.3 Empirical Analysis of Macroeconomic Series"" ""4.3.1 Literature""""4.3.2 Application of the Partial Measures to US Macroeconomic Data""; ""References""; ""5 Inference on Changes in Interdependence Measures""; ""5.1 Change in Measures""; ""5.1.1 Change in Measures for Stationary Vector ARMA Model""; ""5.1.2 Inference for Noncausal Relationship""; ""5.2 Tests Based on Subsampling Method""; ""5.2.1 Test for a Change in Measures Using High-Frequency Data""; ""5.2.2 Variance Estimation via Subsampling""; ""5.3 A Simulation Study of Finite Sample Test Properties""; ""5.3.1 Change in Simple Causality Measure"" ""5.3.2 Change in Partial Causality Measure""""5.4 Empirical Illustrations""; ""5.4.1 Stock Returns and Dividend Yields""; ""5.4.2 Intra-Daily Financial Time Series""; ""References""; ""Appendix Technical Supplements""
• Publisher Details: Singapore : Springer
• Publication Date: 2017
• Extent: 1 online resource (x, 133 pages)
• Subjects: 519.5/5; Time-series analysis; MATHEMATICS -- Applied; MATHEMATICS -- Probability & Statistics -- General; Time-series analysis; Statistics; Statistical Theory and Methods; Statistics for Life Sciences, Medicine, Health Sciences; Statistics for Business/Economics/Mathematical Finance/Insurance; Statistics for Social Science, Behavorial Science, Education, Public Policy, and Law; Statistics and Computing/Statistics Programs; Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences; Electronic books; Electronic book
• Languages: English
• ISBNs: 9789811064364; 9811064369; 9811064350; 9789811064357
• Related ISBNs: 9789811064357
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (SpringerLink, viewed November 2, 2017).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.