ENGLISH

Long memory in economics

By Alan Kirman , Gilles Teyssière , Alan P. Kirman

Book information

Publisher
Springer
Year
2007
ISBN
354022694X, 9783540226949, 9783540346258
LCC
HB172.5 .L66 2007
Open Library ID
OL17930554M
Language
english
Format
PDF
Filesize
4 MB (4069453 bytes)
Edition
1
Pages
392\392
Topic
Economy
Library
Kolxo3
Time added
2009-07-20 03:45:11
Финансово-экономические дисциплины;Статистический

Description

When applying the statistical theory of long range dependent (LRD) processes to economics, the strong complexity of macroeconomic and financial variables, compared to standard LRD processes, becomes apparent. In order to get a better understanding of the behaviour of some economic variables, the book assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; models from economic theory providing plausible micro foundations for the occurence of long memory in economics. Each chapter of the book will give a comprehensive survey of the state of the art and the directions that future developments are likely to take. Taken as a whole the book provides an overview of LRD processes which is accessible to economists, econometricians and statisticians.

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