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Economic Time Series

Modeling and Seasonality

Edited by: William R. Bell , Scott H. Holan , Tucker S. McElroy

Print publication date:  March  2012
Online publication date:  March  2012

Print ISBN: 9781439846575
eBook ISBN: 9781439846582
Adobe ISBN:

10.1201/b11823
 Cite  Marc Record

Book description

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.

Table of contents

Chapter  1:  A Multivariate Periodic Unobserved Components Time Series Analysis for Sectoral U.S. Employment Download PDF
Chapter  2:  Seasonal Heteroskedasticity in Time Series Data: Modeling, Estimation, and Testing Download PDF
Chapter  3:  Choosing Seasonal Autocovariance Structures: PARMA or SARMA? Download PDF
Chapter  4:  Specification and Misspecification of Unobserved Components Models Download PDF
Chapter  5:  Error in Business Cycle Estimates Obtained from Seasonally Adjusted Data Download PDF
Chapter  6:  Frequency Domain Analysis of Seasonal Adjustment Filters Applied to Periodic Labor Force Survey Series Download PDF
Chapter  7:  Comparing Mean Squared Errors of X-12-ARIMA and Canonical ARIMA Model-Based Seasonal Adjustments Download PDF
Chapter  8:  Estimating Variance in X-11 Seasonal Adjustment Download PDF
Chapter  9:  Asymmetric Filters for Trend-Cycle Estimation Download PDF
Chapter  10:  Restoring Accounting Constraints in Time Series—Methods and Software for a Statistical Agency Download PDF
Chapter  11:  Theoretical and Real Trading-Day Frequencies Download PDF
Chapter  12:  Applying and Interpreting Model-Based Seasonal Adjustment—The Euro-Area Industrial Production Series Download PDF
Chapter  13:  Additive Outlier Detection in Seasonal ARIMA Models by a Modified Bayesian Information Criterion Download PDF
Chapter  14:  Outliers in GARCH Processes Download PDF
Chapter  15:  Constructing a Credit Default Swap Index and Detecting the Impact of the Financial Crisis Download PDF
Chapter  16:  Normally Distributed Seasonal Unit Root Tests Download PDF
Chapter  17:  Bayesian Seasonal Adjustment of Long Memory Time Series Download PDF
Chapter  18:  Bayesian Stochastic Model Specification Search for Seasonal and Calendar Effects Download PDF
Chapter  19:  Nonparametric Estimation of the Innovation Variance and Judging the Fit of ARMA Models Download PDF
Chapter  20:  Functional Model Selection for Sparse Binary Time Series with Multiple Inputs Download PDF
Chapter  21:  Models for High Lead Time Prediction Download PDF
prelims Download PDF
Index Download PDF
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