TY  - BOOK
AU  - Abdelraheam Ahmed Mohammed
AU  - Ghazal Abdelaziz Amer , 
TI  - State space modeling of time series and dynamic econometric models / 
PY  - 2014///
CY  - Cairo : 
PB  - Abdelraheam Ahmed Mohammed , 
KW  - Kalman filfer
KW  - State space
KW  - Time series
N1  - Thesis (M.Sc.) - Cairo University - Institute of Statistical Studies and Research - Department of Statistics and Econometrics; Issued also as CD
N2  - In this thesis, we represent various multiple time series and dynamic econometric models in state space form, and estimate the vector of unknown parameters in the system matrices by Maximum Likelihood method for the prediction error decomposition of the log likelihood function using numerical computation methods to find the solution, then we treat the fitted model to start up the Kalman filter algorithm to estimate the first two moments in state and observational vectors in the prediction, smoothing and forecasting step. We consider two applications for the state space model, Local level model as a time invariant model for the Nile river data from 1871 to 2010 and CAPM as a fixed coefficients model for the monthly simple excess returns of CIB stock from January 2001 to December 2010, we use the simple excess returns of EGX30 as the market returns
UR  - http://172.23.153.220/th.pdf
ER  -