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Katsuto Tanaka - Time Series Analysis: Nonstationary and Noninvertible Distribution Theory - 9781119132097 - V9781119132097
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Time Series Analysis: Nonstationary and Noninvertible Distribution Theory

€ 151.24
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Description for Time Series Analysis: Nonstationary and Noninvertible Distribution Theory Hardback. Reflects the developments and new directions in the field since the publication of the first successful edition and contains a complete set of problems and solutions This revised and expanded edition reflects the developments and new directions in the field since the publication of the first edition. Series: Wiley Series in Probability and Statistics. Num Pages: 904 pages. BIC Classification: PBT. Category: (P) Professional & Vocational. Weight in Grams: 666.

Reflects the developments and new directions in the field since the publication of the first successful edition and contains a complete set of problems and solutions

This revised and expanded edition reflects the developments and new directions in the field since the publication of the first edition. In particular, sections on nonstationary panel data analysis and a discussion on the distinction between deterministic and stochastic trends have been added. Three new chapters on long-memory discrete-time and continuous-time processes have also been created, whereas some chapters have been merged and some sections deleted. The first eleven chapters of the first edition ... Read more

• Sections to discuss nonstationary panel data analysis, the problem of differentiating between deterministic and stochastic trends, and nonstationary processes of local deviations from a unit root

• Consideration of the maximum likelihood estimator of the drift parameter, as well as asymptotics as the sampling span increases

• Discussions on not only nonstationary but also noninvertible time series from a theoretical viewpoint

• New topics such as the computation of limiting local powers of panel unit root tests, the derivation of the fractional unit root distribution, and unit root tests under the fBm error

Time Series Analysis: Nonstationary and Noninvertible Distribution Theory, Second Edition, is a reference for graduate students in econometrics or time series analysis.

Katsuto Tanaka, PhD, is a professor in the Faculty of Economics at Gakushuin University and was previously a professor at Hitotsubashi University. He is a recipient of the Tjalling C. Koopmans Econometric Theory Prize (1996), the Japan Statistical Society Prize (1998), and the Econometric Theory Award (1999). Aside from the first edition of Time Series Analysis (Wiley, 1996), Dr. Tanaka had published five econometrics and statistics books in Japanese.

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Product Details

Publisher
John Wiley & Sons Inc
Format
Hardback
Publication date
2017
Series
Wiley Series in Probability and Statistics
Condition
New
Number of Pages
904
Place of Publication
, United States
ISBN
9781119132097
SKU
V9781119132097
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-1

About Katsuto Tanaka
Katsuto Tanaka, PhD, is a professor in the Faculty of Economics at Gakushuin University and was previously a professor at Hitotsubashi University. He is a recipient of the Tjalling C. Koopmans Econometric Theory Prize (1996), the Japan Statistical Society Prize (1998), and the Econometric Theory Award (1999). Aside from the first edition of Time Series Analysis (Wiley, 1996), Dr. Tanaka ... Read more

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