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Author : Harry Myer Rosenblatt
Publisher : Unknown
Page : 60 pages
File Size : 52,8 Mb
Release : 1965
Category : Seasonal variations
ISBN : PSU:000070961911
Author : Marc Nerlove,David M. Grether,José L. Carvalho
Publisher : Academic Press
Page : 495 pages
File Size : 42,5 Mb
Release : 2014-05-10
Category : Business & Economics
ISBN : 9781483218885
Analysis of Economic Time Series: A Synthesis integrates several topics in economic time-series analysis, including the formulation and estimation of distributed-lag models of dynamic economic behavior; the application of spectral analysis in the study of the behavior of economic time series; and unobserved-components models for economic time series and the closely related problem of seasonal adjustment. Comprised of 14 chapters, this volume begins with a historical background on the use of unobserved components in the analysis of economic time series, followed by an Introduction to the theory of stationary time series. Subsequent chapters focus on the spectral representation and its estimation; formulation of distributed-lag models; elements of the theory of prediction and extraction; and formulation of unobserved-components models and canonical forms. Seasonal adjustment techniques and multivariate mixed moving-average autoregressive time-series models are also considered. Finally, a time-series model of the U.S. cattle industry is presented. This monograph will be of value to mathematicians, economists, and those interested in economic theory, econometrics, and mathematical economics.
Author : William R. Bell,Scott H. Holan,Tucker S. McElroy
Publisher : CRC Press
Page : 544 pages
File Size : 41,6 Mb
Release : 2018-11-14
Category : Mathematics
ISBN : 9781439846582
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 s
Author : NERLOVE
Publisher : Birkhäuser
Page : 108 pages
File Size : 45,6 Mb
Release : 1980
Category : Computers
ISBN : STANFORD:36105032603537
The last decade has witnessed an increased interest in time series analysis. Non-parametric methods like spectral and cross spectral analysis are used to discover regularities in individual time series, re lationships between specific components of different time series and leads or lags between those series. Box-Jenkins procedures for the pa rametric estimation of autoregressive-moving average schemes be long nowadays to the standard equipment of a computer center. In economics this revival of time series analysis has led to numer ous empirical studies on optimal seasonal adjustment procedures, the behavior of prices, production, employment etc. More recently, Box Jenkins methods form an integral part for tests on the efficiency of markets, the effectiveness of monetary and fiscal policies and for the study of the röle of different assumptions on the formation of expec tations. This volume comprehends aseries of lectures which deal with var ious topics of time series analysis delivered during the wintersemester 1978/79 at the faculty of economics and statistics. The collection be gins with a paper by M. Nerlove introducing the concept of unob served components. Theoretical results are illustrated by examples se ries on prices of steers, heifers, cows and milk, of cattle and for time hog slaughter, of industrial production and male unemployment. The study by S. Heiler considers a mixed model with a linear regression part and a regular residual process for the prediction of economic processes when additional information is available.
Author : Arnold Zellner
Publisher : Unknown
Page : 508 pages
File Size : 49,7 Mb
Release : 1978
Category : Government publications
ISBN : UCR:31210023591579
Author : NERLOVE
Publisher : Birkhäuser
Page : 0 pages
File Size : 48,9 Mb
Release : 2014-05-14
Category : Computers
ISBN : 1461599253
The last decade has witnessed an increased interest in time series analysis. Non-parametric methods like spectral and cross spectral analysis are used to discover regularities in individual time series, re lationships between specific components of different time series and leads or lags between those series. Box-Jenkins procedures for the pa rametric estimation of autoregressive-moving average schemes be long nowadays to the standard equipment of a computer center. In economics this revival of time series analysis has led to numer ous empirical studies on optimal seasonal adjustment procedures, the behavior of prices, production, employment etc. More recently, Box Jenkins methods form an integral part for tests on the efficiency of markets, the effectiveness of monetary and fiscal policies and for the study of the röle of different assumptions on the formation of expec tations. This volume comprehends aseries of lectures which deal with var ious topics of time series analysis delivered during the wintersemester 1978/79 at the faculty of economics and statistics. The collection be gins with a paper by M. Nerlove introducing the concept of unob served components. Theoretical results are illustrated by examples se ries on prices of steers, heifers, cows and milk, of cattle and for time hog slaughter, of industrial production and male unemployment. The study by S. Heiler considers a mixed model with a linear regression part and a regular residual process for the prediction of economic processes when additional information is available.
Author : Haim Y. Bleikh,Warren L.Young
Publisher : CRC Press
Page : 149 pages
File Size : 45,8 Mb
Release : 2016-02-24
Category : Business & Economics
ISBN : 9781317010180
In Time Series Analysis and Adjustment the authors explain how the last four decades have brought dramatic changes in the way researchers analyze economic and financial data on behalf of economic and financial institutions and provide statistics to whomsoever requires them. Such analysis has long involved what is known as econometrics, but time series analysis is a different approach driven more by data than economic theory and focused on modelling. An understanding of time series and the application and understanding of related time series adjustment procedures is essential in areas such as risk management, business cycle analysis, and forecasting. Dealing with economic data involves grappling with things like varying numbers of working and trading days in different months and movable national holidays. Special attention has to be given to such things. However, the main problem in time series analysis is randomness. In real-life, data patterns are usually unclear, and the challenge is to uncover hidden patterns in the data and then to generate accurate forecasts. The case studies in this book demonstrate that time series adjustment methods can be efficaciously applied and utilized, for both analysis and forecasting, but they must be used in the context of reasoned statistical and economic judgment. The authors believe this is the first published study to really deal with this issue of context.
Author : Estela Bee Dagum,Silvia Bianconcini
Publisher : Springer
Page : 283 pages
File Size : 45,5 Mb
Release : 2016-06-20
Category : Business & Economics
ISBN : 9783319318226
This book explores widely used seasonal adjustment methods and recent developments in real time trend-cycle estimation. It discusses in detail the properties and limitations of X12ARIMA, TRAMO-SEATS and STAMP - the main seasonal adjustment methods used by statistical agencies. Several real-world cases illustrate each method and real data examples can be followed throughout the text. The trend-cycle estimation is presented using nonparametric techniques based on moving averages, linear filters and reproducing kernel Hilbert spaces, taking recent advances into account. The book provides a systematical treatment of results that to date have been scattered throughout the literature. Seasonal adjustment and real time trend-cycle prediction play an essential part at all levels of activity in modern economies. They are used by governments to counteract cyclical recessions, by central banks to control inflation, by decision makers for better modeling and planning and by hospitals, manufacturers, builders, transportation, and consumers in general to decide on appropriate action. This book appeals to practitioners in government institutions, finance and business, macroeconomists, and other professionals who use economic data as well as academic researchers in time series analysis, seasonal adjustment methods, filtering and signal extraction. It is also useful for graduate and final-year undergraduate courses in econometrics and time series with a good understanding of linear regression and matrix algebra, as well as ARIMA modelling.
Author : Anonim
Publisher : Unknown
Page : 916 pages
File Size : 40,7 Mb
Release : 1961
Category : United States
ISBN : UCAL:B3929944
Author : Anonim
Publisher : Unknown
Page : 986 pages
File Size : 52,8 Mb
Release : 1965
Category : United States
ISBN : MINN:31951002814487X
Author : Kenneth Frank Wallis
Publisher : Edward Elgar Publishing
Page : 462 pages
File Size : 41,5 Mb
Release : 1995-01-01
Category : Business & Economics
ISBN : 1782541624
'An excellent reference volume of this author's work, bringing together articles published over a 25 year span on the statistical analysis of economic time series, large scale macroeconomic modelling and the interface between them.' - Aslib Book Guide This major volume of essays by Kenneth F. Wallis features 28 articles published over a quarter of a century on the statistical analysis of economic time series, large-scale macroeconometric modelling, and the interface between them. The first part deals with time-series econometrics and includes significant early contributions to the development of the LSE tradition in time-series econometrics, which is the dominant British tradition and has considerable influence worldwide. Later sections discuss theoretical and practical issues in modelling seasonality and forecasting with applications in both large-scale and small-scale models. The final section summarizes the research programme of the ESRC Macroeconomic Modelling Bureau, a unique comparison project among economy-wide macroeconometric models.
Author : Julius Shiskin,Allan H. Young,John C. Musgrave
Publisher : Unknown
Page : 72 pages
File Size : 46,5 Mb
Release : 1967
Category : Seasonal variations (Economics)
ISBN : UCD:31175017354377
Author : United States. National Commission on Employment and Unemployment Statistics
Publisher : Unknown
Page : 620 pages
File Size : 41,9 Mb
Release : 1979
Category : Unemployed
ISBN : UCAL:B5212214
Author : United States. National Commission on Employment and Unemployment Statistics
Publisher : Unknown
Page : 620 pages
File Size : 41,5 Mb
Release : 1980
Category : Labor supply
ISBN : UOM:39015061312149
Author : United States. National Commission on Employment and Unemployment Statistics
Publisher : Unknown
Page : 614 pages
File Size : 55,5 Mb
Release : 1980
Category : Labor supply
ISBN : WISC:89107800906
