Characterizing Interdependencies of Multiple Time Series : Theory and Applications /
This book introduces academic researchers and professionals to the basic concepts and methods for characterizing interdependencies of multiple time series in the frequency domain. Detecting causal directions between a pair of time series and the extent of their effects, as well as testing the non ex...
Saved in:
Main Authors: | , , , |
---|---|
Format: | Electronic eBook |
Language: | English |
Published: |
Singapore :
Springer Singapore : Imprint: Springer,
2017.
|
Series: | SpringerBriefs in statistics.
|
Subjects: | |
Online Access: | Connect to this title online |
Table of Contents:
- 1: Introduction to statistical causal analysis
- 2: Measures of one-way effect, reciprocity and association.- 3: Partial measures of interdependence.- 4: Inference based on the vector autoregressive and moving average model
- 5: Inference on change in causality measures.- 6: Simulation performance of estimation methods.- 7: Empirical analysis of macroeconomic series
- 8: Empirical analysis of change in causality measures.- 9: Conclusion.- Appendix.- References.- Index.