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Introduction to Statistical Time Series
Abstract
Moving Average and Autoregressive Processes. Introduction to Fourier Analysis. Spectral Theory and Filtering. Some Large Sample Theory. Estimation of the Mean and Autocorrelations. The Periodogram, Estimated Spectrum. Parameter Estimation. Regression, Trend, and Seasonality. Unit Root and Explosive Time Series. Bibliography. Index.
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Cited by
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Dickey, D. A., & Fuller, W. A. (1979) · Journal of the American Statistical Association · doi:10.1080/01621459.1979.10482531 · Cited by 23,211
Johansen, S., & Juselius, K. (1990) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.1990.mp52002003.x · Cited by 14,051
Unit root tests in panel data: asymptotic and finite-sample properties
Levin, A., Lin, C.-F., & James Chu, C.-S. (2002) · Journal of Econometrics · doi:10.1016/s0304-4076(01)00098-7 · Cited by 12,849
A simple panel unit root test in the presence of cross‐section dependence
Pesaran, M. H. (2007) · Journal of Applied Econometrics · doi:10.1002/jae.951 · Cited by 12,787
Testing the null hypothesis of stationarity against the alternative of a unit root
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90104-y · Cited by 12,633
Metadata
- Authors
- McClave, J. T.
- Venue
- Technometrics
- Publisher
- Informa UK Limited
- Published
- 1978-05
- Volume
- 20
- Issue
- 2
- Pages
- 211-211
- ISSN
- 0040-1706 (ISSN-L)
- 1537-2723
- OpenAlex
- W2049287603
- Cited by
- 4,252
- References
- 0
- FWCI
- 37.62
- Type
- journal article
- Language
- en
- Open access
- closed
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- McClave, J. T. (1978). Introduction to Statistical Time Series. Technometrics. https://doi.org/10.1080/00401706.1978.10489651
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
