© 1983

Notes on Economic Time Series Analysis: System Theoretic Perspectives


Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 220)

Table of contents

  1. Front Matter
    Pages N2-IX
  2. Masanao Aoki
    Pages 1-4
  3. Masanao Aoki
    Pages 5-6
  4. Masanao Aoki
    Pages 7-14
  5. Masanao Aoki
    Pages 15-21
  6. Masanao Aoki
    Pages 38-47
  7. Masanao Aoki
    Pages 48-59
  8. Masanao Aoki
    Pages 90-105
  9. Masanao Aoki
    Pages 106-131
  10. Masanao Aoki
    Pages 132-139
  11. Masanao Aoki
    Pages 154-177
  12. Back Matter
    Pages 178-255

About this book


In seminars and graduate level courses I have had several opportunities to discuss modeling and analysis of time series with economists and economic graduate students during the past several years. These experiences made me aware of a gap between what economic graduate students are taught about vector-valued time series and what is available in recent system literature. Wishing to fill or narrow the gap that I suspect is more widely spread than my personal experiences indicate, I have written these notes to augment and reor­ ganize materials I have given in these courses and seminars. I have endeavored to present, in as much a self-contained way as practicable, a body of results and techniques in system theory that I judge to be relevant and useful to economists interested in using time series in their research. I have essentially acted as an intermediary and interpreter of system theoretic results and perspectives in time series by filtering out non-essential details, and presenting coherent accounts of what I deem to be important but not readily available, or accessible to economists. For this reason I have excluded from the notes many results on various estimation methods or their statistical properties because they are amply discussed in many standard texts on time series or on statistics.


Probability distribution Series Time Time series Variance Zeitreihenanalyse correlation principal component analysis

Authors and affiliations

  1. 1.The Institute of Social and Economic ResearchOsaka UniversityIbaraki, Osaka 567Japan

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