Economic time series : modeling and seasonality

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Title:

Author:

Bell, William R., 1943-

ISBN:

9781439846575

Publication Information:

Boca Raton, FL : CRC Press, c2012.

Physical Description:

xvii, 535 p. : ill. ; 25 cm.

General Note:

Formerly CIP.

Contents:

Machine generated contents note: I.Periodic Modeling of Economic Time Series -- 1.A Multivariate Periodic Unobserved Components Time Series Analysis for Sectoral U.S. Employment / Irma Hindrayanto -- 2.Seasonal Heteroskedasticity in Time Series Data: Modeling, Estimation, and Testing / William R. Bell -- 3.Choosing Seasonal Autocovariance Structures: PARMA or SARMA? / Robert Lund -- II.Estimating Time Series Components with Misspecified Models -- 4.Specification and Misspecification of Unobserved Components Models / Andrew Harvey -- 5.Error in Business Cycle Estimates Obtained from Seasonally Adjusted Data / Scott H. Holan -- 6.Frequency Domain Analysis of Seasonal Adjustment Filters Applied to Periodic Labor Force Survey Series / Richard B. Tiller -- III.Quantifying Error in X-11 Seasonal Adjustments -- 7.Comparing Mean Squared Errors of X-12-ARIMA and Canonical ARIMA Model-Based Seasonal Adjustments / George C. Tiao --

Contents note continued: 8.Estimating Variance in X-11 Seasonal Adjustment / Michail Sverchkov -- IV.Practical Problems in Seasonal Adjustment -- 9.Asymmetric Filters for Trend-Cycle Estimation / Alessandra Luati -- 10.Restoring Accounting Constraints in Time Series---Methods and Software for a Statistical Agency / Susie Fortier -- 11.Theoretical and Real Trading-Day Frequencies / Dominique Ladiray -- 12.Applying and Interpreting Model-Based Seasonal Adjustment---The Euro-Area Industrial Production Series / Domingo Perez -- V.Outlier Detection and Modeling Time Series with Extreme Values -- 13.Additive Outlier Detection in Seasonal ARIMA Models by a Modified Bayesian Information Criterion / Daniel Pena -- 14.Outliers in GARCH Processes / Ruey S. Tsay -- 15.Constructing a Credit Default Swap Index and Detecting the Impact of the Financial Crisis / Genshiro Kitagawa -- VI.Alternative Models for Seasonal and Other Time Series Components --

Contents note continued: 16.Normally Distributed Seasonal Unit Root Tests / David A. Dickey -- 17.Bayesian Seasonal Adjustment of Long Memory Time Series / Tucker S. McElroy -- 18.Bayesian Stochastic Model Specification Search for Seasonal and Calendar Effects / Stefano Grassi -- VII.Modeling and Estimation for Nonseasonal Economic Time Series -- 19.Nonparametric Estimation of the Innovation Variance and Judging the Fit of ARMA Models / M. Pourahmadi -- 20.Functional Model Selection for Sparse Binary Time Series with Multiple Inputs / Haonan Wang -- 21.Models for High Lead Time Prediction / John Haywood.

Subject Term:

Seasonal variations (Economics) -- Mathematical models.

Time-series analysis -- Mathematical models.

Econometrics.

Economics, Mathematical.

Added Author:

Bell, William R., 1943-

Holan, Scott H.

McElroy, Tucker.

Copies:

Available:*

Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	33168025567591	330.0151955 B435E 2012	1	Searching... Unknown

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Summary

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.