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Book synopsis

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.

Book details

Book category Books in English Mathematics & science Mathematics Optimization

• Full title: Long Memory in Economics
• Author: Gilles Teyssi, Alan P. Kirman
• Language: English
• Binding: Paperback
• Number of pages: 389
• EAN: 9783642061547
• ISBN: 3642061540
• ID: 01651437
• Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Weight: 617 g
• Dimensions: 235 × 155 × 22 mm
• Date of publishing: 12. February 2010

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