The Econometric Analysis Of Seasonal Time Series

Author : Eric Ghysels,Denise R. Osborn
Publisher : Cambridge University Press
Page : 258 pages
File Size : 44,7 Mb
Release : 2001-06-18
Category : Business & Economics
ISBN : 052156588X

Get Book

The Econometric Analysis of Seasonal Time Series by Eric Ghysels,Denise R. Osborn Pdf

Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade of theoretical advances in the area. The authors discuss the asymptotic distribution theory for linear nonstationary seasonal stochastic processes. They also cover the latest contributions to the theory and practice of seasonal adjustment, together with its implications for estimation and hypothesis testing. Moreover, a comprehensive analysis of periodic models is provided, including stationary and nonstationary cases. The book concludes with a discussion of some nonlinear seasonal and periodic models. The treatment is designed for an audience of researchers and advanced graduate students.

Author : William R. Bell,Scott H. Holan,Tucker S. McElroy
Publisher : CRC Press
Page : 544 pages
File Size : 44,9 Mb
Release : 2018-11-14
Category : Mathematics
ISBN : 9781439846582

Get Book

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 s

Author : Andrew C. Harvey
Publisher : MIT Press
Page : 418 pages
File Size : 51,5 Mb
Release : 1990
Category : Business & Economics
ISBN : 026208189X

Get Book

The Econometric Analysis of Time Series by Andrew C. Harvey Pdf

The Econometric Analysis of Time Series focuses on the statistical aspects of model building, with an emphasis on providing an understanding of the main ideas and concepts in econometrics rather than presenting a series of rigorous proofs.

Author : Thomas B. Fomby,Dek Terrell,R. Carter Hill
Publisher : Emerald Group Publishing
Page : 407 pages
File Size : 47,6 Mb
Release : 2006-03-01
Category : Business & Economics
ISBN : 9780762312740

Get Book

Econometric Analysis of Financial and Economic Time Series by Thomas B. Fomby,Dek Terrell,R. Carter Hill Pdf

Talks about the time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, application of the technique of boosting in volatility forecasting, and more.

Author : Philip Hans Franses
Publisher : Oxford University Press, USA
Page : 256 pages
File Size : 46,6 Mb
Release : 1996
Category : Business & Economics
ISBN : UOM:39015038161827

Get Book

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 : Arnold Zellner
Publisher : Unknown
Page : 508 pages
File Size : 43,7 Mb
Release : 1978
Category : Government publications
ISBN : UCR:31210023591579

Get Book

Seasonal Analysis of Economic Time Series by Arnold Zellner Pdf

Author : Terence C. Mills
Publisher : Cambridge University Press
Page : 392 pages
File Size : 40,5 Mb
Release : 1990
Category : Business & Economics
ISBN : 0521405742

Get Book

Time Series Techniques for Economists by Terence C. Mills Pdf

The application of time series techniques in economics has become increasingly important, both for forecasting purposes and in the empirical analysis of time series in general. In this book, Terence Mills not only brings together recent research at the frontiers of the subject, but also analyses the areas of most importance to applied economics. It is an up-to-date text which extends the basic techniques of analysis to cover the development of methods that can be used to analyse a wide range of economic problems. The book analyses three basic areas of time series analysis: univariate models, multivariate models, and non-linear models. In each case the basic theory is outlined and then extended to cover recent developments. Particular emphasis is placed on applications of the theory to important areas of applied economics and on the computer software and programs needed to implement the techniques. This book clearly distinguishes itself from its competitors by emphasising the techniques of time series modelling rather than technical aspects such as estimation, and by the breadth of the models considered. It features many detailed real-world examples using a wide range of actual time series. It will be useful to econometricians and specialists in forecasting and finance and accessible to most practitioners in economics and the allied professions.

Author : Marc Nerlove,David M. Grether,José L. Carvalho
Publisher : Academic Press
Page : 495 pages
File Size : 44,5 Mb
Release : 2014-05-10
Category : Business & Economics
ISBN : 9781483218885

Get Book

Analysis of Economic Time Series by Marc Nerlove,David M. Grether,José L. Carvalho Pdf

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 : Svend Hylleberg
Publisher : Oxford University Press, USA
Page : 494 pages
File Size : 50,5 Mb
Release : 1992
Category : Business & Economics
ISBN : STANFORD:36105003419798

Get Book

Modelling Seasonality by Svend Hylleberg Pdf

This volume brings together leading papers on the existing standard economic theory of seasonality as well as papers which apply newer statistical tools to the modelling of seasonal phenomena. It includes a discussion of the X-11 method of seasonal adjustment, as well as an assessment ofrecent developments in the field.

Author : Philip Hans Franses
Publisher : Cambridge University Press
Page : 300 pages
File Size : 40,8 Mb
Release : 1998-10-15
Category : Business & Economics
ISBN : 0521586410

Get Book

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 : Haim Y. Bleikh,Warren L.Young
Publisher : CRC Press
Page : 149 pages
File Size : 48,5 Mb
Release : 2016-02-24
Category : Business & Economics
ISBN : 9781317010180

Get Book

Time Series Analysis and Adjustment by Haim Y. Bleikh,Warren L.Young Pdf

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 : Terence C. Mills
Publisher : Academic Press
Page : 354 pages
File Size : 44,6 Mb
Release : 2019-02-08
Category : Business & Economics
ISBN : 9780128131176

Get Book

Applied Time Series Analysis by Terence C. Mills Pdf

Written for those who need an introduction, Applied Time Series Analysis reviews applications of the popular econometric analysis technique across disciplines. Carefully balancing accessibility with rigor, it spans economics, finance, economic history, climatology, meteorology, and public health. Terence Mills provides a practical, step-by-step approach that emphasizes core theories and results without becoming bogged down by excessive technical details. Including univariate and multivariate techniques, Applied Time Series Analysis provides data sets and program files that support a broad range of multidisciplinary applications, distinguishing this book from others. Focuses on practical application of time series analysis, using step-by-step techniques and without excessive technical detail Supported by copious disciplinary examples, helping readers quickly adapt time series analysis to their area of study Covers both univariate and multivariate techniques in one volume Provides expert tips on, and helps mitigate common pitfalls of, powerful statistical software including EVIEWS and R Written in jargon-free and clear English from a master educator with 30 years+ experience explaining time series to novices Accompanied by a microsite with disciplinary data sets and files explaining how to build the calculations used in examples

Author : Philip Hans Franses,Richard Paap
Publisher : OUP Oxford
Page : 166 pages
File Size : 50,5 Mb
Release : 2004-03-25
Category : Business & Economics
ISBN : 9780191529269

Get Book

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 : C. W. J. Granger,Paul Newbold
Publisher : Academic Press
Page : 353 pages
File Size : 46,6 Mb
Release : 2014-05-10
Category : Business & Economics
ISBN : 9781483273242

Get Book

Forecasting Economic Time Series by C. W. J. Granger,Paul Newbold Pdf

Economic Theory, Econometrics, and Mathematical Economics, Second Edition: Forecasting Economic Time Series presents the developments in time series analysis and forecasting theory and practice. This book discusses the application of time series procedures in mainstream economic theory and econometric model building. Organized into 10 chapters, this edition begins with an overview of the problem of dealing with time series possessing a deterministic seasonal component. This text then provides a description of time series in terms of models known as the time-domain approach. Other chapters consider an alternative approach, known as spectral or frequency-domain analysis, that often provides useful insights into the properties of a series. This book discusses as well a unified approach to the fitting of linear models to a given time series. The final chapter deals with the main advantage of having a Gaussian series wherein the optimal single series, least-squares forecast will be a linear forecast. This book is a valuable resource for economists.

Author : Helmut Lütkepohl,Markus Krätzig
Publisher : Cambridge University Press
Page : 351 pages
File Size : 42,5 Mb
Release : 2004-08-02
Category : Business & Economics
ISBN : 9781139454735

Get Book

Applied Time Series Econometrics by Helmut Lütkepohl,Markus Krätzig Pdf

Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.