Analysis of Integrated and Cointegrated Time Series with R

Juana Sanchez

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Analysis of Integrated and Cointegrated Time Series with R

机译：带R的积分和协积分时间序列分析

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Unit roots, cointegration and vector autoregressions are statistical time series concepts coined by econometricians and associated with non-stationary economic time series. These concepts have settled over the years in econometric theory and practice and are now part of any econometric literacy curriculum. The interpretation given to the concepts in that literature involves economic equilibrium, stochastic trends and trend stationarity, all of which have economic policy implications not to be ignored in a dynamic economy.

机译：单位根，协整和向量自回归是计量经济学家提出的统计时间序列概念，与非平稳经济时间序列相关。这些概念已经在计量经济学的理论和实践中确立了多年，现在已成为任何计量经济学素养课程的一部分。文献中对概念的解释涉及经济均衡，随机趋势和趋势平稳性，所有这些都具有动态经济中不容忽视的经济政策含义。

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《Journal of applied statistics》 |2007年第8期|p.1015-1016|共2页
作者
Juana Sanchez;
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University of California, Los Angeles, USA;

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正文语种 eng
中图分类统计学;
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1. Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R Springer, New York, 2006, xi + 139 pp, Softcover, US $ 49.95, GB £ 29.50, € 42.75, ISBN 978-0-387-27959-6 [J] . Helmut Lütkepohl Statistical Papers . 2011,第2期

机译：伯恩哈德·普法夫（Bernhard Pfaff）（2006）：使用R Springer进行的集成和协整时间序列分析，纽约，2006年，xi + 139 pp，软封面，49.95美元，GB£29.50，€42.75，ISBN 978-0-387-27959-6
2. ERROR-CORRECTION FACTOR MODELS FOR HIGH-DIMENSIONAL COINTEGRATED TIME SERIES [J] . Tu Yundong, Yao Qiwei, Zhang Rongmao Statistica Sinica . 2020,第3期

机译：高维结合时间序列的误差校正因子模型
3. Is radiative forcing cointegrated with temperature? A further examination using a structural time series approach [J] . Kelvin Balcombe, Iain Fraser, Abhijit Sharma Management of Environmental Quality . 2019,第5期

机译：辐射强制与温度合并吗？使用结构时间序列方法进行进一步检查
4. Simulating cointegrated time series [C] . Galenko A., Popova E., Morton D., Winter Simulation Conference (WSC 2010) . 2009

机译：模拟协整时间序列
5. Representation Theory for Cointegrated Functional Time Series [D] . Seo, Won-Ki. 2018

机译：结合功能时间序列的表示理论
6. HTRgene: a computational method to perform the integrated analysis of multiple heterogeneous time-series data: case analysis of cold and heat stress response signaling genes in Arabidopsis [O] . Hongryul Ahn, Inuk Jung, Heejoon Chae, 2019

机译：HTRgene：一种用于对多个异类时间序列数据进行综合分析的计算方法：拟南芥中冷热应激响应信号基因的案例分析
7. Semiparametric frequency domain analysis of fractionally integrated and cointegrated time series. [O] . Marinucci Domenico 1998

机译：分数阶积分和协整时间序列的半参数频域分析。

Analysis of Integrated and Cointegrated Time Series with R

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