Periodic Time Series Models

Author : Philip Hans Franses,Richard Paap
Publisher : OUP Oxford
Page : 166 pages
File Size : 52,8 Mb
Release : 2004-03-25
Category : Business & Economics
ISBN : 9780191529269

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Periodic Time Series Models by Philip Hans Franses,Richard Paap Pdf

This book considers periodic time series models for seasonal data, characterized by parameters that differ across the seasons, and focuses on their usefulness for out-of-sample forecasting. Providing an up-to-date survey of the recent developments in periodic time series, the book presents a large number of empirical results. The first part of the book deals with model selection, diagnostic checking and forecasting of univariate periodic autoregressive models. Tests for periodic integration, are discussed, and an extensive discussion of the role of deterministic regressors in testing for periodic integration and in forecasting is provided. The second part discusses multivariate periodic autoregressive models. It provides an overview of periodic cointegration models, as these are the most relevant. This overview contains single-equation type tests and a full-system approach based on generalized method of moments. All methods are illustrated with extensive examples, and the book will be of interest to advanced graduate students and researchers in econometrics, as well as practitioners looking for an understanding of how to approach seasonal data.

Author : Philip Hans Franses
Publisher : Unknown
Page : 147 pages
File Size : 44,8 Mb
Release : 2004
Category : Econometric models
ISBN : 0191601284

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Periodic Time Series Models by Philip Hans Franses Pdf

In this insightful, modern study of the use of periodic models in the description and forecasting of economic data the authors investigate such areas as seasonal time series, periodic time series models, periodic integration and periodic cointegration.

Author : Philip Hans Franses
Publisher : Oxford University Press, USA
Page : 256 pages
File Size : 42,6 Mb
Release : 1996
Category : Business & Economics
ISBN : UOM:39015038161827

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Periodicity and Stochastic Trends in Economic Time Series by Philip Hans Franses Pdf

This book provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. Two key concepts are periodic integration and periodic cointegration. Periodic integration implies that a seasonally varying differencing filter is required to remove a stochastic trend. Periodic cointegration amounts to allowing cointegration paort-term adjustment parameters to vary with the season. The emphasis is on useful econrameters and shometric models that explicitly describe seasonal variation and can reasonably be interpreted in terms of economic behaviour. The analysis considers econometric theory, Monte Carlo simulation, and forecasting, and it is illustrated with numerous empirical time series. A key feature of the proposed models is that changing seasonal fluctuations depend on the trend and business cycle fluctuations. In the case of such dependence, it is shown that seasonal adjustment leads to inappropriate results.

Author : Jose D. Salas
Publisher : Water Resources Publication
Page : 502 pages
File Size : 54,6 Mb
Release : 1980
Category : Science
ISBN : 0918334373

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Applied Modeling of Hydrologic Time Series by Jose D. Salas Pdf

Author : William R. Bell,Scott H. Holan,Tucker S. McElroy
Publisher : CRC Press
Page : 554 pages
File Size : 44,5 Mb
Release : 2012-03-19
Category : Mathematics
ISBN : 9781439846582

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Economic Time Series by William R. Bell,Scott H. Holan,Tucker S. McElroy Pdf

Economic Time Series: Modeling and Seasonality is a focused resource on analysis of economic time series as pertains to modeling and seasonality, presenting cutting-edge research that would otherwise be scattered throughout diverse peer-reviewed journals. This compilation of 21 chapters showcases the cross-fertilization between the fields of time series modeling and seasonal adjustment, as is reflected both in the contents of the chapters and in their authorship, with contributors coming from academia and government statistical agencies. For easier perusal and absorption, the contents have been grouped into seven topical sections: Section I deals with periodic modeling of time series, introducing, applying, and comparing various seasonally periodic models Section II examines the estimation of time series components when models for series are misspecified in some sense, and the broader implications this has for seasonal adjustment and business cycle estimation Section III examines the quantification of error in X-11 seasonal adjustments, with comparisons to error in model-based seasonal adjustments Section IV discusses some practical problems that arise in seasonal adjustment: developing asymmetric trend-cycle filters, dealing with both temporal and contemporaneous benchmark constraints, detecting trading-day effects in monthly and quarterly time series, and using diagnostics in conjunction with model-based seasonal adjustment Section V explores outlier detection and the modeling of time series containing extreme values, developing new procedures and extending previous work Section VI examines some alternative models and inference procedures for analysis of seasonal economic time series Section VII deals with aspects of modeling, estimation, and forecasting for nonseasonal economic time series By presenting new methodological developments as well as pertinent empirical analyses and reviews of established methods, the book provides much that is stimulating and practically useful for the serious researcher and analyst of economic time series.

Author : Philip Hans Franses
Publisher : Cambridge University Press
Page : 300 pages
File Size : 50,5 Mb
Release : 1998-10-15
Category : Business & Economics
ISBN : 0521586410

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Time Series Models for Business and Economic Forecasting by Philip Hans Franses Pdf

An introduction to time series models for business and economic forecasting.

Author : Peter J. Brockwell,Richard A. Davis
Publisher : Springer Science & Business Media
Page : 437 pages
File Size : 51,9 Mb
Release : 2006-04-10
Category : Computers
ISBN : 9780387216577

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Introduction to Time Series and Forecasting by Peter J. Brockwell,Richard A. Davis Pdf

This is an introduction to time series that emphasizes methods and analysis of data sets. The logic and tools of model-building for stationary and non-stationary time series are developed and numerous exercises, many of which make use of the included computer package, provide the reader with ample opportunity to develop skills. Statisticians and students will learn the latest methods in time series and forecasting, along with modern computational models and algorithms.

Author : Helmut Lütkepohl
Publisher : Springer Science & Business Media
Page : 764 pages
File Size : 51,8 Mb
Release : 2005-12-06
Category : Business & Economics
ISBN : 9783540277521

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New Introduction to Multiple Time Series Analysis by Helmut Lütkepohl Pdf

This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.

Author : Chris Chatfield,Haipeng Xing
Publisher : CRC Press
Page : 398 pages
File Size : 46,9 Mb
Release : 2019-04-25
Category : Mathematics
ISBN : 9781498795647

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The Analysis of Time Series by Chris Chatfield,Haipeng Xing Pdf

This new edition of this classic title, now in its seventh edition, presents a balanced and comprehensive introduction to the theory, implementation, and practice of time series analysis. The book covers a wide range of topics, including ARIMA models, forecasting methods, spectral analysis, linear systems, state-space models, the Kalman filters, nonlinear models, volatility models, and multivariate models. It also presents many examples and implementations of time series models and methods to reflect advances in the field. Highlights of the seventh edition: A new chapter on univariate volatility models A revised chapter on linear time series models A new section on multivariate volatility models A new section on regime switching models Many new worked examples, with R code integrated into the text The book can be used as a textbook for an undergraduate or a graduate level time series course in statistics. The book does not assume many prerequisites in probability and statistics, so it is also intended for students and data analysts in engineering, economics, and finance.

Author : Philip Hans Franses
Publisher : Unknown
Page : 0 pages
File Size : 55,6 Mb
Release : 2023
Category : Cycles
ISBN : 1383033145

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Periodicity & Stochastic Trends in Economic Time Series by Philip Hans Franses Pdf

This text provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. The analysis considers econometric theory, Monte Carlo simulation and forecasting, and it is illuminated with empirical time series.

Author : Raquel Prado,Mike West
Publisher : CRC Press
Page : 375 pages
File Size : 41,8 Mb
Release : 2010-05-21
Category : Mathematics
ISBN : 9781420093360

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Time Series by Raquel Prado,Mike West Pdf

Focusing on Bayesian approaches and computations using simulation-based methods for inference, Time Series: Modeling, Computation, and Inference integrates mainstream approaches for time series modeling with significant recent developments in methodology and applications of time series analysis. It encompasses a graduate-level account of Bayesian time series modeling and analysis, a broad range of references to state-of-the-art approaches to univariate and multivariate time series analysis, and emerging topics at research frontiers. The book presents overviews of several classes of models and related methodology for inference, statistical computation for model fitting and assessment, and forecasting. The authors also explore the connections between time- and frequency-domain approaches and develop various models and analyses using Bayesian tools, such as Markov chain Monte Carlo (MCMC) and sequential Monte Carlo (SMC) methods. They illustrate the models and methods with examples and case studies from a variety of fields, including signal processing, biomedicine, and finance. Data sets, R and MATLAB® code, and other material are available on the authors’ websites. Along with core models and methods, this text offers sophisticated tools for analyzing challenging time series problems. It also demonstrates the growth of time series analysis into new application areas.

Author : Helmut Lütkepohl
Publisher : Springer Science & Business Media
Page : 556 pages
File Size : 52,6 Mb
Release : 2013-04-17
Category : Business & Economics
ISBN : 9783662026915

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Introduction to Multiple Time Series Analysis by Helmut Lütkepohl Pdf

Author : K.W. Hipel,A.I McLeod
Publisher : Elsevier
Page : 1053 pages
File Size : 50,6 Mb
Release : 1994-04-07
Category : Technology & Engineering
ISBN : 9780080870366

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Time Series Modelling of Water Resources and Environmental Systems by K.W. Hipel,A.I McLeod Pdf

This is a comprehensive presentation of the theory and practice of time series modelling of environmental systems. A variety of time series models are explained and illustrated, including ARMA (autoregressive-moving average), nonstationary, long memory, three families of seasonal, multiple input-single output, intervention and multivariate ARMA models. Other topics in environmetrics covered in this book include time series analysis in decision making, estimating missing observations, simulation, the Hurst phenomenon, forecasting experiments and causality. Professionals working in fields overlapping with environmetrics - such as water resources engineers, environmental scientists, hydrologists, geophysicists, geographers, earth scientists and planners - will find this book a valuable resource. Equally, environmetrics, systems scientists, economists, mechanical engineers, chemical engineers, and management scientists will find the time series methods presented in this book useful.

Author : Steven Durlauf,L. Blume
Publisher : Springer
Page : 417 pages
File Size : 55,7 Mb
Release : 2016-04-30
Category : Business & Economics
ISBN : 9780230280830

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Macroeconometrics and Time Series Analysis by Steven Durlauf,L. Blume Pdf

Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.

Author : Rob J Hyndman,George Athanasopoulos
Publisher : OTexts
Page : 380 pages
File Size : 49,8 Mb
Release : 2018-05-08
Category : Business & Economics
ISBN : 9780987507112

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Forecasting: principles and practice by Rob J Hyndman,George Athanasopoulos Pdf

Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.