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1st ed |
| Descript |
1 online resource (544 pages) |
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text txt rdacontent |
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computer c rdamedia |
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online resource cr rdacarrier |
| Note |
Front Cover -- Contents -- Preface -- Editors -- Contributors -- Part I: Periodic Modeling of Economic Time Series -- 1. A Multivariate Periodic Unobserved Components Time Series Analysis for Sectoral U.S. Employment -- 2. Seasonal Heteroskedasticity in Time Series Data: Modeling, Estimation, and Testing -- 3. Choosing Seasonal Autocovariance Structures: PARMA or SARMA? -- Part II: Estimating Time Series Components with Misspecified Models -- 4. Specification and Misspecification of Unobserved Components Models -- 5. Error in Business Cycle Estimates Obtained from Seasonally Adjusted Data -- 6. Frequency Domain Analysis of Seasonal Adjustment Filters Applied to Periodic Labor Force Survey Series -- Part III: Quantifying Error in X-11 Seasonal Adjustments -- 7. Comparing Mean Squared Errors of X-12-ARIMA and Canonical ARIMA Model-Based Seasonal Adjustments -- 8. Estimating Variance in X-11 Seasonal Adjustment -- Part IV: Practical Problems in Seasonal Adjustment -- 9. Asymmetric Filters for Trend-Cycle Estimation -- 10. Restoring Accounting Constraints in Time Series& -- #8212 -- Methods and Software for a Statistical Agency -- 11. Theoretical and Real Trading-Day Frequencies -- 12. Applying and Interpreting Model-Based Seasonal Adjustment& -- #8212 -- The Euro-Area Industrial Production Series -- Part V: Outlier Detection and Modeling Time Series with Extreme Values -- 13. Additive Outlier Detection in Seasonal ARIMA Models by a Modified Bayesian Information Criterion -- 14. Outliers in GARCH Processes -- 15. Constructing a Credit Default Swap Index and Detecting the Impact of the Financial Crisis -- Part VI: Alternative Models for Seasonal and Other Time Series Components -- 16. Normally Distributed Seasonal Unit Root Tests -- 17. Bayesian Seasonal Adjustment of Long Memory Time Series |
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18. Bayesian Stochastic Model Specification Search for Seasonal and Calendar Effects -- Part VII: Modeling and Estimation for Nonseasonal Economic Time Series -- 19. Nonparametric Estimation of the Innovation Variance and Judging the Fit of ARMA Models -- 20. Functional Model Selection for Sparse Binary Time Series with Multiple Inputs -- 21. Models for High Lead Time Prediction |
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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 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 |
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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 |
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Description based on publisher supplied metadata and other sources |
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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2020. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries |
| Link |
Print version: Bell, William R. Economic Time Series : Modeling and Seasonality
London : CRC Press LLC,c2012 9781439846575
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| Subject |
Econometrics.;Economics, Mathematical.;Seasonal variations (Economics) -- Mathematical models.;Time-series analysis -- Mathematical models
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Electronic books
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| Alt Author |
Holan, Scott H
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McElroy, Tucker S
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