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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
Book Synopsis Economic Time Series by : William R. Bell
Download or read book Economic Time Series written by William R. Bell and published by CRC Press. This book was released on 2018-11-14 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Book Synopsis Seasonal Analysis of Economic Time Series by : Arnold Zellner
Download or read book Seasonal Analysis of Economic Time Series written by Arnold Zellner and published by . This book was released on 1978 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Book Synopsis The Econometric Analysis of Seasonal Time Series by : Eric Ghysels
Download or read book The Econometric Analysis of Seasonal Time Series written by Eric Ghysels and published by Cambridge University Press. This book was released on 2001-06-18 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
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.
Book Synopsis Analysis of Economic Time Series by : Marc Nerlove
Download or read book Analysis of Economic Time Series written by Marc Nerlove and published by Academic Press. This book was released on 2014-05-10 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Seasonal analysis of economic time series by : Conference On The Seasonal Analysis Of Economic Time Series. [1976, 9-10 septembre. Washington, D.C.].
Download or read book Seasonal analysis of economic time series written by Conference On The Seasonal Analysis Of Economic Time Series. [1976, 9-10 septembre. Washington, D.C.]. and published by . This book was released on 1979 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Book Synopsis Forecasting Economic Time Series by : C. W. J. Granger
Download or read book Forecasting Economic Time Series written by C. W. J. Granger and published by Academic Press. This book was released on 2014-05-10 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
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.
Book Synopsis Time Series Analysis and Adjustment by : Haim Y. Bleikh
Download or read book Time Series Analysis and Adjustment written by Haim Y. Bleikh and published by CRC Press. This book was released on 2016-02-24 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
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.
Book Synopsis Periodicity and Stochastic Trends in Economic Time Series by : Philip Hans Franses
Download or read book Periodicity and Stochastic Trends in Economic Time Series written by Philip Hans Franses and published by Oxford University Press, USA. This book was released on 1996 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
'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.
Book Synopsis Time Series Analysis and Macroeconometric Modelling by : Kenneth Frank Wallis
Download or read book Time Series Analysis and Macroeconometric Modelling written by Kenneth Frank Wallis and published by Edward Elgar Publishing. This book was released on 1995-01-01 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: '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.
Seasonality in Regression presents the problems of seasonality in economic regression models. This book discusses the procedures that may have application in practical econometric work. Organized into eight chapters, this book begins with an overview of the tremendous increase in the computational capabilities made by the development of the electronic computer that has profound implications for the way seasonality is handled by economists. This text then examines some seasonal models and their characteristics. Other chapters consider the most frequently applied evaluation criteria and appraise the values in the applications. This book discusses as well the frequency domain estimators and provides insight into problems of estimating the disturbance–covariance matrix through the use of the disturbance spectrum. The final chapter deals with the main objective of the treatment of personality to formulate and estimate econometric models. This book is a valuable resource for economists and econometricians who have knowledge of econometrics at an advanced undergraduate or graduate level.
Book Synopsis Seasonality in Regression by : Svend Hylleberg
Download or read book Seasonality in Regression written by Svend Hylleberg and published by Academic Press. This book was released on 2014-05-10 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seasonality in Regression presents the problems of seasonality in economic regression models. This book discusses the procedures that may have application in practical econometric work. Organized into eight chapters, this book begins with an overview of the tremendous increase in the computational capabilities made by the development of the electronic computer that has profound implications for the way seasonality is handled by economists. This text then examines some seasonal models and their characteristics. Other chapters consider the most frequently applied evaluation criteria and appraise the values in the applications. This book discusses as well the frequency domain estimators and provides insight into problems of estimating the disturbance–covariance matrix through the use of the disturbance spectrum. The final chapter deals with the main objective of the treatment of personality to formulate and estimate econometric models. This book is a valuable resource for economists and econometricians who have knowledge of econometrics at an advanced undergraduate or graduate level.
